Single Curve Collapse of the Price Impact Function for the New York Stock Exchange

Lillo, Fabrizio; Farmer, J. Doyne; Mantegna, Rosario N.

Single Curve Collapse of the Price Impact Function for the New York Stock Exchange

Authors

Lillo, Fabrizio

Farmer, J. Doyne

Mantegna, Rosario N.

Description

We study the average price impact of a single trade executed in the NYSE. After appropriate averaging and rescaling, the data for the 1000 most highly capitalized stocks collapse onto a single function, giving average price shift as a function of trade size. This function increases as a power that is the order of 1/2 for small volumes, but then increases more slowly for large volumes. We obtain similar results in each year from the period 1995 - 1998. We also find that small volume liquidity scales as a power of the stock capitalization.
4 pages, 4 figures