Deviations in expected price impact for small transaction volumes under fee restructuring

Michael Harvey, Dieter Hendricks, Tim Gebbie and Diane Wilcox

Papers from arXiv.org

Abstract: 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.

Date: 2016-02, Revised 2016-11
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Citations: View citations in EconPapers (4)

Published in Physica A 471(1) 2017, 416-426

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1602.04950

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