Name
Title | ||
|---|---|---|
An analysis of price impact functions of individual trades on the London Stock Exchange |
Abstract | ||
|---|---|---|
Studying price impact is important in finance and previous work examines the relationship between trade size and price impact on a number of equity markets. In this study, using recent order book data from the London Stock Exchange, we examine the price impact function for six highly-liquid stocks and novelly investigate whether the function displays time-of-day effects. The results show that price impact exhibits a power-law scaling, and that price impact is highest in the first hour of the trading day and lowest in the last ninety minutes of trading. |
Year | DOI | Venue |
|---|---|---|
2014 | 10.1109/CIFEr.2014.6924047 | Computational Intelligence for Financial Engineering & Economics |
Keywords | Field | DocType |
pricing,stock markets,london stock exchange,highly-liquid stocks,individual trades,order book data,power-law scaling,price impact function analysis,time-of-day effects,market microstructure | Producer price index,Economics,Financial economics,Market microstructure,Price level,Volume-weighted average price,Cost price,Market depth,Law of one price,Mid price | Conference |
ISSN | Citations | PageRank |
2380-8454 | 2 | 0.55 |
References | Authors | |
0 | 4 | |
Name | Order | Citations | PageRank |
|---|---|---|---|
| m wilinski | 1 | 2 | 0.55 |
| wei cui | 2 | 2 | 0.55 |
| Anthony Brabazon | 3 | 918 | 98.60 |
| p hamill | 4 | 2 | 0.55 |