The estimation of market impact is crucial for measuring the information content of trades and for transaction cost analysis. Hasbrouck's (1991) seminal paper proposed a Structural-VAR (S-VAR) to jointly model mid-quote changes and trade signs. Recent literature has highlighted some pitfalls of...

We use statistically validated networks, a recently introduced method to validate links in a bipartite system, to identify clusters of investors trading in a financial market. Specifically, we investigate a special database allowing to track the trading activity of individual investors of the...

We empirically study the trading activity in the electronic on-book segment and in the dealership off-book segment of the London Stock Exchange, investigating separately the trading of active market members and of other market participants which are non-members. We find that (i) the volume...

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...