DocumentCode :
120776
Title :
An analysis of price impact functions of individual trades on the London Stock Exchange
Author :
Wilinski, Mateusz ; Wei Cui ; Brabazon, Anthony
Author_Institution :
Fac. of Phys., Univ. of Warsaw, Warsaw, Poland
fYear :
2014
fDate :
27-28 March 2014
Firstpage :
1
Lastpage :
8
Abstract :
Studying price impact is important in finance and previous work examines the relationship between trade size and price impact on a number of equity markets. In this study, using recent order book data from the London Stock Exchange, we examine the price impact function for six highly-liquid stocks and novelly investigate whether the function displays time-of-day effects. The results show that price impact exhibits a power-law scaling, and that price impact is highest in the first hour of the trading day and lowest in the last ninety minutes of trading.
Keywords :
pricing; stock markets; London Stock Exchange; highly-liquid stocks; individual trades; order book data; power-law scaling; price impact function analysis; time-of-day effects; Algorithm design and analysis; Companies; Consumer electronics; Data mining; Educational institutions; Share prices; Stock markets;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Computational Intelligence for Financial Engineering & Economics (CIFEr), 2104 IEEE Conference on
Conference_Location :
London
Type :
conf
DOI :
10.1109/CIFEr.2014.6924047
Filename :
6924047
Link To Document :
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