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

Simple item page
dc.creatorLillo, Fabrizio
dc.creatorFarmer, J. Doyne
dc.creatorMantegna, Rosario N.
dc.date2002-07-17
dc.date.accessioned2026-07-07T12:06:42Z
dc.date.available2026-07-07T12:06:42Z
dc.descriptionWe 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.
dc.description4 pages, 4 figures
dc.identifierhttps://arxiv.org/abs/cond-mat/0207428
dc.identifierhttp://arxiv.org/abs/cond-mat/0207428
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208731
dc.subjectStatistical Mechanics
dc.subjectTrading and Market Microstructure
dc.titleSingle Curve Collapse of the Price Impact Function for the New York Stock Exchange
dc.typetext

Files

Collections

arXiv