Single Curve Collapse of the Price Impact Function for the New York Stock Exchange
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 i...
| Main Authors: | , , |
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| Format: | Journal article |
| Published: |
2002
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