PMID: 22587145May 17, 2012Paper

Agent-specific impact of single trades in financial markets

Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics
Alex J BladonTobias Galla

Abstract

We present an analysis of the price impact associated with single trades effected by different financial firms. Using data from the Spanish Stock Market, we find a high degree of heterogeneity across different market members, both in the instantaneous impact functions and in the time-dependent market response to trades by individual members. This heterogeneity is statistically incompatible with the existence of market-wide universal impact dynamics that apply uniformly to all trades and suggest that, rather, market dynamics emerge from the complex interaction of different behaviors of market participants. Several possible reasons for this are discussed, along with potential extensions one may consider to increase the range of applicability of existing models of market impact.

References

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Sep 21, 2002·Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics·Vasiliki PlerouH Eugene Stanley
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Feb 3, 2005·Proceedings of the National Academy of Sciences of the United States of America·J Doyne FarmerIlija I Zovko
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Citations

Oct 9, 2015·PloS One·Jonathan Donier, Jean-Philippe Bouchaud
May 23, 2020·PloS One·Min-Young LeeGabjin Oh

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