We empirically study the market impact of trading orders. We are specically 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 nd 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 nished, it reverts to a level of about 0:5We empirically study the market impact of trading orders. We are specically 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 nd 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 nished, it reverts to a level of about 0:5Refereed Working Papers / of international relevanc
