Non-average price impact in order-driven markets
Trading and Market Microstructure
2022-01-24 v2 Statistical Finance
Abstract
We present a measurement of price impact in order-driven markets that does not require averages across executions or scenarios. Given the order book data associated with one single execution of a sell metaorder, we measure its contribution to price decrease during the trade. We do so by modelling the limit order book using state-dependent Hawkes processes, and by defining the price impact profile of the execution as a function of the compensator of a stochastic process in our model. We apply our measurement to a data set from NASDAQ, and we conclude that the clustering of sell child orders has a bigger impact on price than their sizes.
Keywords
Cite
@article{arxiv.2110.00771,
title = {Non-average price impact in order-driven markets},
author = {Claudio Bellani and Damiano Brigo and Mikko Pakkanen and Leandro Sanchez-Betancourt},
journal= {arXiv preprint arXiv:2110.00771},
year = {2022}
}