Published in

Taylor and Francis Group, Quantitative Finance, 7(13), p. 1071-1089

DOI: 10.1080/14697688.2013.765957

Links

Tools

Export citation

Search in Google Scholar

Analysis of trade packages in the Chinese stock market

Journal article published in 2013 by Fei Ren, Wei-Xing Zhou ORCID
This paper is available in a repository.
This paper is available in a repository.

Full text: Download

Green circle
Preprint: archiving allowed
Upload
Orange circle
Postprint: archiving restricted
Upload
Red circle
Published version: archiving forbidden
Policy details
Data provided by SHERPA/RoMEO

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 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. ; Comment: 9 pages, 7 figures