Last updated
2017-10-26T12:52:07.717+01:00
Abstract
We study the average price impact of a single trade executed in the NYSE.
After appropriate averaging and rescaling, the data for the 1000 most highly
capitalized stocks collapse onto a single function, giving average price shift
as a function of trade size. This function increases as a power that is the
order of 1/2 for small volumes, but then increases more slowly for large
volumes. We obtain similar results in each year from the period 1995 - 1998. We
also find that small volume liquidity scales as a power of the stock
capitalization.
After appropriate averaging and rescaling, the data for the 1000 most highly
capitalized stocks collapse onto a single function, giving average price shift
as a function of trade size. This function increases as a power that is the
order of 1/2 for small volumes, but then increases more slowly for large
volumes. We obtain similar results in each year from the period 1995 - 1998. We
also find that small volume liquidity scales as a power of the stock
capitalization.
Symplectic ID
387672
Download URL
http://arxiv.org/abs/cond-mat/0207428v1
Submitted to ORA
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Publication type
Journal Article