Journal ArticleDOI
The immediate price impact of trades on the Australian Stock Exchange
Marcus Lim,Richard Coggins +1 more
TLDR
In this paper, the authors study the immediate price impact of a single trade executed in the Australian Stock Exchange (ASX) by ordering the top 300 stocks on the ASX in order of their free float market capitalization, and show that higher cap stocks experiencing lower price impact than lower cap stocks for the same traded volume.Abstract:
We study the immediate price impact of a single trade executed in the Australian Stock Exchange (ASX). By ordering the top 300 stocks on the ASX in order of their free float market capitalization, a clear pattern emerges, with higher cap stocks experiencing lower price impact than lower cap stocks for the same traded volume. We investigate this relationship in detail, and show that the price impact and liquidity scale as a power of the market capitalization. This relationship is used to obtain a single market impact curve which shows average price shift as a function of volume traded. We obtain similar results for every year from 2001 to 2004.read more
Citations
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Journal ArticleDOI
Multifractal analysis of financial markets: a review.
TL;DR: The cumulating evidence for the presence of multifractality in financial time series in different markets and at different time periods is surveyed, and the sources ofMultifractality are discussed.
Journal ArticleDOI
Multifractal analysis of financial markets
TL;DR: In this article, the authors survey the cumulating evidence for the presence of multifractality in financial time series in different markets and at different time periods and discuss the sources of multifractality.
Journal ArticleDOI
Statistical Properties and Pre-Hit Dynamics of Price Limit Hits in the Chinese Stock Markets
Yu Lei Wan,Wen-Jie Xie,Gao-Feng Gu,Zhi-Qiang Jiang,Wei Chen,Xiong Xiong,Wei Zhang,Wei-Xing Zhou +7 more
TL;DR: The price limit trading rule has a cooling-off effect (object to the magnet effect), indicating that the rule takes effect in the Chinese stock markets, and it is found that price continuation is much more likely to occur than price reversal on the next trading day after a limit-hitting day, especially for down-limit hits.
Journal ArticleDOI
Universal price impact functions of individual trades in an order-driven market
TL;DR: In this article, the authors show that the price impact of trades from partially filled orders is constant when the volume is not too large, while that of filled orders shows power-law be...
Journal ArticleDOI
Complex stock trading network among investors
Zhi-Qiang Jiang,Wei-Xing Zhou +1 more
TL;DR: Li et al. as discussed by the authors provided an empirical investigation aimed at uncovering the statistical properties of intricate stock trading networks based on the order flow data of a highly liquid stock (Shenzhen Development Bank) listed on Shenzhen Stock Exchange during the whole year of 2003.
References
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Journal ArticleDOI
Inferring Trade Direction from Intraday Data
Charles M.C. Lee,Mark J. Ready +1 more
TL;DR: In this paper, the authors evaluate alternative methods for classifying individual trades as market buy or market sell orders using intraday trade and quote data and identify two serious potential problems with this method, namely, that quotes are often recorded ahead of the trade that triggered them and that trades inside the spread are not readily classifiable.
Journal ArticleDOI
Measuring the Information Content of Stock Trades
TL;DR: In this article, the interactions of security trades and quote revisions are modeled as a vector autoregressive system and the extent of the information asymmetry is measured as the ultimate price impact of the trade innovation.
Journal ArticleDOI
A theory of power-law distributions in financial market fluctuations
Xavier Gabaix,Parameswaran Gopikrishnan,Parameswaran Gopikrishnan,Vasiliki Plerou,H. Eugene Stanley +4 more
TL;DR: This model is based on the hypothesis that large movements in stock market activity arise from the trades of large participants, and explains certain striking empirical regularities that describe the relationship between large fluctuations in prices, trading volume and the number of trades.