In this paper, we use a database of around 400,000 metaorders issued by investors and electronically traded on European markets in 2010 in order to study market impact at different scales.At the intraday scale we confirm a square root temporary impact in the daily participation, and we shed...

In this paper, we use a database of around 400,000 metaorders issued by investors and electronically traded on European markets in 2010 in order to study market impact at different scales. At the intraday scale we confirm a square root temporary impact in the daily participation, and we shed...

In this paper, we want to address the question of market impact of consecutive orders over the same day and across two consecutive days. This question is key for traders who need to determine the best way to schedule their executions. This question is answered using a unique database of more...

Standard Volume algos induce predictable aggressive trades. Large aggressive orders in the market often trigger, in turn, aggressive trades from Standard Volume algos. This phenomenon leads to late aggressive trading, which is particularly predictable and detrimental to execution performance. In...

We leverage our client order database over the period October 2014-October 2016 (349,442 trades corresponding to a EUR92.3bn turnover) to estimate new models of market impact. We find a multiplicative relationship between the market impact and the explanatory factors (the volatility, the...