We present an empirical study of price reversion after the executed metaorders. We use a data set with more than 8 million metaorders executed by institutional investors in the US equity market. We show that relaxation takes place as soon as the metaorder ends:{while at the end of the same day it is on average ≈2/3 of the peak impact, the decay continues the next days, following a power-law function at short time scales, and converges to a non-zero asymptotic value at long time scales (∼50 days) equal to ≈1/2 of the impact at the end of the first day.} Due to a significant, multiday correlation of the sign of executed metaorders, a careful deconvolution of the \emph{observed} impact must be performed to extract the estimate of the impact decay of isolated metaorders.
@article{arxiv.1901.05332,
title = {Slow decay of impact in equity markets: insights from the ANcerno database},
author = {Frédéric Bucci and Michael Benzaquen and Fabrizio Lillo and Jean-Philippe Bouchaud},
journal= {arXiv preprint arXiv:1901.05332},
year = {2019}
}