Slow decay of impact in equity markets: insights from the ANcerno database

Fr\'ed\'eric Bucci, Michael Benzaquen, Fabrizio Lillo and Jean-Philippe Bouchaud

Papers from arXiv.org

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 $\approx 2/3$ 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 (${\sim 50}$ days) equal to $\approx 1/2$ 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 \emph{observed} impact must be performed to extract the estimate of the impact decay of isolated metaorders.

Date: 2019-01, Revised 2019-01
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