5 research outputs found
Market impacts and the life cycle of investors orders
In this paper, we use a database of around 400,000 metaorders issued by
investors and electronically traded on European markets in 2010 in order to
study market impact at different scales.
At the intraday scale we confirm a square root temporary impact in the daily
participation, and we shed light on a duration factor in with
. Including this factor in the fits reinforces the square
root shape of impact. We observe a power-law for the transient impact with an
exponent between (for long metaorders) and (for shorter ones).
Moreover we show that the market does not anticipate the size of the
meta-orders. The intraday decay seems to exhibit two regimes (though hard to
identify precisely): a "slow" regime right after the execution of the
meta-order followed by a faster one. At the daily time scale, we show price
moves after a metaorder can be split between realizations of expected returns
that have triggered the investing decision and an idiosynchratic impact that
slowly decays to zero.
Moreover we propose a class of toy models based on Hawkes processes (the
Hawkes Impact Models, HIM) to illustrate our reasoning.
We show how the Impulsive-HIM model, despite its simplicity, embeds appealing
features like transience and decay of impact. The latter is parametrized by a
parameter having a macroscopic interpretation: the ratio of contrarian
reaction (i.e. impact decay) and of the "herding" reaction (i.e. impact
amplification).Comment: 30 pages, 12 figure