Market impact and trading profile of hidden orders in stock markets

Rosario Nunzio Mantegna, Fabrizio Lillo, Gabriella Vaglica, Esteban Moro, Rosario N. Mantegna, Luis G. Moyano, Austin Gerig, J. Doyne Farmer, Javier Vicente, Fabrizio Lillo

Risultato della ricerca: Article

76 Citazioni (Scopus)

Abstract

We empirically study the market impact of trading orders. We are specifically interested in large trading orders that are executed incrementally, which we call hidden orders. These are statistically reconstructed based on information about market member codes using data from the Spanish Stock Market and the London Stock Exchange. We find that market impact is strongly concave, approximately increasing as the square root of order size. Furthermore, as a given order is executed, the impact grows in time according to a power law; after the order is finished, it reverts to a level of about 0.5–0.7 of its value at its peak. We observe that hidden orders are executed at a rate that more or less matches trading in the overall market, except for small deviations at the beginning and end of the order.
Lingua originaleEnglish
pagine (da-a)-
Numero di pagine8
RivistaPHYSICAL REVIEW. E, STATISTICAL, NONLINEAR AND SOFT MATTER PHYSICS
Volume2009
Stato di pubblicazionePublished - 2009

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Market impact
Stock market
Deviation
Information market
Order size
London Stock Exchange
Power law

All Science Journal Classification (ASJC) codes

  • Statistical and Nonlinear Physics
  • Condensed Matter Physics
  • Statistics and Probability

Cita questo

Market impact and trading profile of hidden orders in stock markets. / Mantegna, Rosario Nunzio; Lillo, Fabrizio; Vaglica, Gabriella; Moro, Esteban; Mantegna, Rosario N.; Moyano, Luis G.; Gerig, Austin; Farmer, J. Doyne; Vicente, Javier; Lillo, Fabrizio.

In: PHYSICAL REVIEW. E, STATISTICAL, NONLINEAR AND SOFT MATTER PHYSICS, Vol. 2009, 2009, pag. -.

Risultato della ricerca: Article

Mantegna, RN, Lillo, F, Vaglica, G, Moro, E, Mantegna, RN, Moyano, LG, Gerig, A, Farmer, JD, Vicente, J & Lillo, F 2009, 'Market impact and trading profile of hidden orders in stock markets', PHYSICAL REVIEW. E, STATISTICAL, NONLINEAR AND SOFT MATTER PHYSICS, vol. 2009, pagg. -.
Mantegna, Rosario Nunzio ; Lillo, Fabrizio ; Vaglica, Gabriella ; Moro, Esteban ; Mantegna, Rosario N. ; Moyano, Luis G. ; Gerig, Austin ; Farmer, J. Doyne ; Vicente, Javier ; Lillo, Fabrizio. / Market impact and trading profile of hidden orders in stock markets. In: PHYSICAL REVIEW. E, STATISTICAL, NONLINEAR AND SOFT MATTER PHYSICS. 2009 ; Vol. 2009. pagg. -.
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abstract = "We empirically study the market impact of trading orders. We are specifically interested in large trading orders that are executed incrementally, which we call hidden orders. These are statistically reconstructed based on information about market member codes using data from the Spanish Stock Market and the London Stock Exchange. We find that market impact is strongly concave, approximately increasing as the square root of order size. Furthermore, as a given order is executed, the impact grows in time according to a power law; after the order is finished, it reverts to a level of about 0.5–0.7 of its value at its peak. We observe that hidden orders are executed at a rate that more or less matches trading in the overall market, except for small deviations at the beginning and end of the order.",
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AU - Mantegna, Rosario Nunzio

AU - Lillo, Fabrizio

AU - Vaglica, Gabriella

AU - Moro, Esteban

AU - Mantegna, Rosario N.

AU - Moyano, Luis G.

AU - Gerig, Austin

AU - Farmer, J. Doyne

AU - Vicente, Javier

AU - Lillo, Fabrizio

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N2 - We empirically study the market impact of trading orders. We are specifically interested in large trading orders that are executed incrementally, which we call hidden orders. These are statistically reconstructed based on information about market member codes using data from the Spanish Stock Market and the London Stock Exchange. We find that market impact is strongly concave, approximately increasing as the square root of order size. Furthermore, as a given order is executed, the impact grows in time according to a power law; after the order is finished, it reverts to a level of about 0.5–0.7 of its value at its peak. We observe that hidden orders are executed at a rate that more or less matches trading in the overall market, except for small deviations at the beginning and end of the order.

AB - We empirically study the market impact of trading orders. We are specifically interested in large trading orders that are executed incrementally, which we call hidden orders. These are statistically reconstructed based on information about market member codes using data from the Spanish Stock Market and the London Stock Exchange. We find that market impact is strongly concave, approximately increasing as the square root of order size. Furthermore, as a given order is executed, the impact grows in time according to a power law; after the order is finished, it reverts to a level of about 0.5–0.7 of its value at its peak. We observe that hidden orders are executed at a rate that more or less matches trading in the overall market, except for small deviations at the beginning and end of the order.

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JO - Physical Review E - Statistical, Nonlinear, and Soft Matter Physics

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