An analysis of price impact functions of individual trades on the London stock exchange

被引：7

作者：

Wilinski, M. ^{[1
]}

Cui, Wei ^{[2
]}

Brabazon, A. ^{[2
]}

Hamill, P. ^{[3
]}

机构：

[1] Univ Warsaw, Fac Phys, Warsaw, Poland

[2] Univ Coll Dublin, Sch Business, Dublin 2, Ireland

[3] Inst Banking, Dublin, Ireland

来源：

QUANTITATIVE FINANCE | 2015年 / 15卷 / 10期

基金：

爱尔兰科学基金会;

关键词：

Price impact function; Order book; Transactions volume; Market microstructure; C69; D4; LARGE-BLOCK TRANSACTIONS; SUPPLY-AND-DEMAND; ORDER FLOW; STRATEGIES; PERMANENT; LIQUIDITY; MARKETS;

D O I：

10.1080/14697688.2015.1071077

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Price impact is an important area of research in market microstructure. Previous studies have examined 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 immediate price impact function for all stocks from FTSE 100 and novelly we investigate whether the function displays time-of-day effects. The results show that price impact exhibits a power-law scaling that price impact is highest in the first hour of the trading day, and lowest in the 90 minutes before market close.

引用

页码：1727 / 1735

页数：9

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