Using a large database of 8 million institutional trades executed in the U.S. equity market, we establish a clear crossover between a linear market impact regime and a square-root regime as a function of the volume of the order. Our empirical results are remarkably well explained by a recently proposed dynamical theory of liquidity that makes specific predictions about the scaling function describing this crossover. Allowing at least two characteristic timescales for the liquidity ("fast" and "slow") enables one to reach quantitative agreement with the data.

Crossover from Linear to Square-Root Market Impact / Bucci, Frédéric; Benzaquen, Michael; Lillo, Fabrizio; Bouchaud, Jean-Philippe. - In: PHYSICAL REVIEW LETTERS. - ISSN 0031-9007. - STAMPA. - 122:10(2019), pp. 108302.108302-108302.108306. [10.1103/PhysRevLett.122.108302]

Crossover from Linear to Square-Root Market Impact

Lillo, Fabrizio;
2019

Abstract

Using a large database of 8 million institutional trades executed in the U.S. equity market, we establish a clear crossover between a linear market impact regime and a square-root regime as a function of the volume of the order. Our empirical results are remarkably well explained by a recently proposed dynamical theory of liquidity that makes specific predictions about the scaling function describing this crossover. Allowing at least two characteristic timescales for the liquidity ("fast" and "slow") enables one to reach quantitative agreement with the data.
2019
Crossover from Linear to Square-Root Market Impact / Bucci, Frédéric; Benzaquen, Michael; Lillo, Fabrizio; Bouchaud, Jean-Philippe. - In: PHYSICAL REVIEW LETTERS. - ISSN 0031-9007. - STAMPA. - 122:10(2019), pp. 108302.108302-108302.108306. [10.1103/PhysRevLett.122.108302]
Bucci, Frédéric; Benzaquen, Michael; Lillo, Fabrizio; Bouchaud, Jean-Philippe
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/684296
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