We present an empirical study of price reversion after the executed metaorders. We use a dataset 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 ≈2∕3 of the peak impact, the decay continues for the next few days, following a power-law function at short-time scales, and converges to a non-zero asymptotic value at long-time scales (∼50 days) equal to ≈1∕2 of the impact at the end of the first day, that is ≈1∕3 of peak impact. Due to a significant, multiday correlation of the sign of executed metaorders, a careful deconvolution of the observed impact must be performed to extract the estimate of the impact decay of isolated metaorders.
Bucci, F., Benzaquen, M., Lillo, F., Bouchaud, J. (2018). Slow Decay of Impact in Equity Markets: Insights from the ANcerno Database. MARKET MICROSTRUCTURE AND LIQUIDITY, 04(03n04), 1950006-1950013 [10.1142/S2382626619500060].
Slow Decay of Impact in Equity Markets: Insights from the ANcerno Database
Lillo, Fabrizio;
2018
Abstract
We present an empirical study of price reversion after the executed metaorders. We use a dataset 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 ≈2∕3 of the peak impact, the decay continues for the next few days, following a power-law function at short-time scales, and converges to a non-zero asymptotic value at long-time scales (∼50 days) equal to ≈1∕2 of the impact at the end of the first day, that is ≈1∕3 of peak impact. Due to a significant, multiday correlation of the sign of executed metaorders, a careful deconvolution of the observed impact must be performed to extract the estimate of the impact decay of isolated metaorders.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.