Slow Decay of Impact in Equity Markets: Insights from the ANcerno Database

Frédéric Bucci, Michael Benzaquen (), Fabrizio Lillo and Jean-Philippe Bouchaud ()
Additional contact information
Michael Benzaquen: LadHyX - Laboratoire d'hydrodynamique - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique

Post-Print from HAL

Abstract: We present an empirical study of price reversion after the executed metaorders. We use a data set with more than 8 million metaorders executed by institutional investors in the US equity market. We show that relaxation takes place as soon as the metaorder ends:while at the end of the same day it is on average ≈ 2/3 of the peak impact, the decay continues the next days, following a power-law function at short time scales, and converges to a non-zero asymptotic value at long time scales (∼ 50 days) equal to ≈ 1/2 of the impact at the end of the first day. Due to a significant, multiday correlation of the sign of executed metaorders, a careful deconvolution of the observed impact must be performed to extract the estimate of the impact decay of isolated metaorders.

Date: 2019-07
Note: View the original document on HAL open archive server: https://hal.science/hal-02323357
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Published in Market microstructure and liquidity, 2019, pp.1950006. ⟨10.1142/S2382626619500060⟩

Downloads: (external link)
https://hal.science/hal-02323357/document (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02323357

DOI: 10.1142/S2382626619500060

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().