#Agents #Complexity #Finance #Stock Market #Market Impact

Agent-specific impact of single trades in financial markets

Authors: Alex Bladon, Esteban Moro y Tobias Galla Journal: Physical Review E 85, 036103 (2012) LINK | arXiv Abstract: We present an analysis of the price impact associated with single trades effected by different financial firms. Using data from the Spanish Stock Market, we find a high degree of heterogeneity across different market members, both in the instantaneous impact functions and in the time-dependent market response to trades by individual members. ...

#Agents #Stock Market #Market Impact #Finance

Market impact and trading profile of large trading orders in stock markets

Authors: Esteban Moro, Javier Vicente, Luis G. Moyano, Austin Gerig, J. Doyne Farmer, Gabriella Vaglica, Fabrizio Lillo and Rosario N. Mantegna Journal: Phys. Rev. E 80, 066102 (2009) LINK | arXiv Abstract: We empirically study the market impact of trading orders. We are specifically interested in large trading orders that are executed incrementally, which we call hidden orders. These are reconstructed based on information about market member codes using data from the Spanish Stock Market and the London Stock Exchange. ...