We study the average price impact of a single trade executed in the NYSE.
After appropriate averaging and rescaling, the data for the 1000 most highly
capitalized stocks collapse onto a single function, giving average price shift
as a function of trade size. This function increases as a power that is the
order of 1/2 for small volumes, but then increases more slowly for large
volumes. We obtain similar results in each year from the period 1995 - 1998. We
also find that small volume liquidity scales as a power of the stock
capitalization.Comment: 4 pages, 4 figure
