We empirically study the market impact of trading orders. We are specifically interested in large trading orders that are executed incrementally, which we call hidden orders. These are reconstructed based on information about market member codes using data from the Spanish Stock Market and the...

We empirically study the market impact of trading orders. We are specifically interested in large trading orders that are executed incrementally, which we call hidden orders. These are reconstructed based on information about market member codes using data from the Spanish Stock Market and the...

We empirically study the market impact of trading orders. We are specifically interested in large trading orders that are executed incrementally, which we call hidden orders. These are statistically reconstructed based on information about market member codes using data from the Spanish Stock...

The article focuses on the market efficiency and the long-memory of supply and demand. The long-memory of supply and demand implies that there are waves of buyer-initiated transactions that are highly foreseeable with the use of simple linear algorithm. The authors stressed that the total price...

We study the price change associated with the incremental execution of large trading orders. The heavy tails of large order sizes leads to persistence in the signs of transactions: Buyer initiated transactions tend to be followed by buyer initiated transactions and seller initiated transactions...

Market impact is the change in price due to initiating a trade. In this paper we develop a new theory for average market impact based on properties of order flow, efficiency of price returns and other empirically testable assumptions. Our approach differs from previous efforts in that our...

Using data from the London Stock Exchange we investigate the influence of signed transaction order volume on current and future price changes. (Buy orders are given a positive sign, sell orders a negative sign). Empirical studies have shown that transaction order signs display long memory....

In this comment we discuss the problem of reconciling the linear efficiency of price returns with the long-memory of supply and demand. We present new evidence that shows that efficiency is maintained by a liquidity imbalance that co-moves with the imbalance of buyer vs. seller initiated...

We develop a theory for the market impact of large trading orders, which we call metaorders because they are typically split into small pieces and executed incrementally. Market impact is empirically observed to be a concave function of metaorder size, i.e. the impact per share of large...

We develop a theory for the market impact of large trading orders, which we call <italic>metaorders</italic> because they are typically split into small pieces and executed incrementally. Market impact is empirically observed to be a concave function of metaorder size, i.e. the impact per share of large...