Slow decay of impact in equity markets

X. Brokmann; E. Serie; J. Kockelkoren; J. -P. Bouchaud

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arXiv · 1407.3390

Slow decay of impact in equity markets

X. Brokmann·E. Serie·J. Kockelkoren·J. -P. Bouchaud

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Abstract

Using a proprietary dataset of meta-orders and prediction signals, and assuming a quasi-linear impact model, we deconvolve market impact from past correlated trades and a predictable return component to elicit the temporal dependence of the market impact of a single daily meta-order, over a ten day horizon in various equity markets. We find that the impact of single meta-orders is to a first approximation universal and slowly decays to zero (or to a small value), possibly as a power-law. We show that auto-correlated order-flows and trade information contents fully accounts for the apparent plateau observed in the raw data. We discuss the possible bias introduced by the quasi-linear assumption.

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BibTeX RIS

X. Brokmann, E. Serie, J. Kockelkoren, J. -P. Bouchaud. 2014-07-12. Slow decay of impact in equity markets. https://arxiv.org/abs/1407.3390

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