Market Impact: A Systematic Study of Limit Orders

This paper is devoted to the important yet little explored subject of the market impact of limit orders. Our analysis is based on a proprietary database of metaorders - large orders that are split into smaller pieces before being sent to the market. We first address the case of aggressive limit orde...

Full description

Saved in:
Bibliographic Details
Published inarXiv.org
Main Authors Said, Emilio, Ahmed Bel Hadj Ayed, Husson, Alexandre, Abergel, Frédéric
Format Paper Journal Article
LanguageEnglish
Published Ithaca Cornell University Library, arXiv.org 14.05.2022
Subjects
Empirical analysis
Markets
Quantitative Finance - Statistical Finance
Quantitative Finance - Trading and Microstructure
Stock brokers
Online AccessGet full text
ISSN2331-8422
DOI10.48550/arxiv.1802.08502

Cover

More Information
Summary:This paper is devoted to the important yet little explored subject of the market impact of limit orders. Our analysis is based on a proprietary database of metaorders - large orders that are split into smaller pieces before being sent to the market. We first address the case of aggressive limit orders and then, that of passive limit orders. In both cases, we provide empirical evidence of a power law behaviour for the temporary market impact. The relaxation of the price following the end of the metaorder is also studied, and the long-term impact is shown to stabilize at a level of approximately two-thirds of the maximum impact. Finally, a fair pricing condition during the life cycle of the metaorders is empirically validated.
Bibliography:SourceType-Working Papers-1
ObjectType-Working Paper/Pre-Print-1
content type line 50
ISSN:2331-8422
DOI:10.48550/arxiv.1802.08502