Price impact is an important area of research in market microstructure. Previous studies have examined 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 immediate price impact function for all stocks from FTSE 100 and novelly we investigate whether the function displays time-of-day effects. The results show that price impact exhibits a power-law scaling that price impact is highest in the first hour of the trading day, and lowest in the 90 minutes before market close.

An analysis of price impact functions of individual trades on the London stock exchange

Wilinski, M.;
2015-01-01

Abstract

Price impact is an important area of research in market microstructure. Previous studies have examined 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 immediate price impact function for all stocks from FTSE 100 and novelly we investigate whether the function displays time-of-day effects. The results show that price impact exhibits a power-law scaling that price impact is highest in the first hour of the trading day, and lowest in the 90 minutes before market close.
2015
Market microstructure; Order book; Price impact function; Transactions volume; Finance; Economics, Econometrics and Finance (all)2001 Economics, Econometrics and Finance (miscellaneous)
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11384/72378
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