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arXiv · 1109.0119

Individual impact of agent actions in financial markets

Alex J. Bladon·Esteban Moro·Tobias Galla
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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.

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Alex J. Bladon, Esteban Moro, Tobias Galla. 2011-09-01. Individual impact of agent actions in financial markets. https://doi.org/10.1103/physreve.85.036103

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