<title>Abstract</title> This paper conducts an empirical study on trade packages of 23 stocks of the Chinese stock market, each composed of a sequence of consecutive purchases or sales of a stock. We investigate the probability distributions of the execution time, the number of trades, and the total trading...

The trade size ω has a direct impact on the price formation of the stock traded. Econophysical analyses of transaction data for the US and Australian stock markets have uncovered market-specific scaling laws, where a master curve of price impact can be obtained in each market when stock...