Individual impact of agent actions in financial markets
arXiv:1109.0119 · doi:10.1103/PhysRevE.85.036103
Abstract
We present an analysis of the price impact associated with trades effected by different financial firms. Using data from the Spanish Stock Market, we find a high degree of heterogeneity across different market members, both in the instantaneous impact functions and in the time-dependent market response to trades by individual members. This heterogeneity is statistically incompatible with the existence of market-wide universal impact dynamics which apply uniformly to all trades and suggests that rather, market dynamics emerge from the complex interaction of different behaviors of market participants. Several possible reasons for this are discussed, along with potential extensions one may consider to increase the range of applicability of existing models of market impact.
11 pages, 7 figures, 3 tables
References in corpus (8)
- More statistical properties of order books and price impact
- Quantifying Stock Price Response to Demand Fluctuations
- Market impact and trading profile of large trading orders in stock markets
- A quantitative model of trading and price formation in financial markets
- A theory for long-memory in supply and demand
- Scaling laws of strategic behaviour and size heterogeneity in agent dynamics
- Specialization of strategies and herding behavior of trading firms in a financial market
- A Theory for Market Impact: How Order Flow Affects Stock Price