The notion of market impact is subtle and sometimes misinterpreted. Here we argue thatimpact should not be misconstrued as volatility. In particular, the so-called “square-root impactlaw”, which states that impact grows as the square-root of traded volume, has nothing todo with price...

Crowding is most likely an important factor in the deterioration of strategy performance, the increase of trading costs and the development of systemic risk. We study the imprints of crowding on both anonymous market data and a large database of metaorders from institutional investors in the...

We model the impact costs of a strategy that trades a basket of correlated instruments, by extending to the multivariate case the linear propagator model previously used for single instruments. Our specification allows us to calibrate a cost model that is free of arbitrage and price...

The vast majority of recent studies in market impact assess each product individually, and the interactions between their order flows are disregarded. This strong approximation may lead to an underestimation of trading costs and possible contagion effects. Transactions mediate a significant part...

Using a large database of 8 million institutional trades executed in the U.S. equity market, we establish a clear crossover between a linear market impact regime and a square-root regime as a function of the volume of the order. Our empirical results are remarkably well explained by a recently...

We present an empirical study of price reversion after the executed metaorders. We use a data set with more than 8 million metaorders executed by institutional investors in the US equity market. We show that relaxation takes place as soon as the metaorder ends:while at the end of the same day it...

We revisit the trading invariance hypothesis recently proposed by Kyle and Obizhaeva [1] by empirically investigating a large dataset of bets, or metaorders, provided by ANcerno. The hypothesis predicts that the quantity I := R/N3/2 , where R is the exchanged risk (volatility × volume × price)...

We present an empirical study of the intertwined behaviour of members in a financial market. Exploiting a database where the broker that initiates an order book event can be identified, we decompose the correlation and response functions into contributions coming from different market...

We present an empirical study of the intertwined behaviour of members in a financial market. Exploiting a database where the broker that initiates an order book event can be identified, we decompose the correlation and response functions into contributions coming from different market...