Single Curve Collapse of the Price Impact Function for the New York Stock Exchange

Fabrizio Lillo, J. Farmer and Rosario Mantegna

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Abstract: 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.

Date: 2002-07
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