Deviations in expected price impact for small transaction volumes under fee restructuring
T. Gebbie and
Physica A: Statistical Mechanics and its Applications, 2017, vol. 471, issue C, 416-426
We report on the occurrence of an anomaly in the price impacts of small transaction volumes following a change in the fee structure of an electronic market. We first review evidence for the existence of a master curve for price impact on the Johannesburg Stock Exchange (JSE). On attempting to re-estimate a master curve after fee reductions, it is found that the price impact corresponding to smaller volume trades is greater than expected relative to prior estimates for a range of listed stocks. We show that a master curve for price impact can be found following rescaling by an appropriate liquidity proxy, providing a means for practitioners to approximate price impact curves without onerous processing of tick data.
Keywords: Price impact; Fee structure change; Market regulation; Master curve; Market microstructure; Electronic limit order book (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:471:y:2017:i:c:p:416-426
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