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Article overview
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Individual impact of agent actions in financial markets | Alex J. Bladon
; Esteban Moro
; Tobias Galla
; | Date: |
1 Sep 2011 | Abstract: | We present an analysis of the price impact associated with 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. This heterogeneity is statistically incompatible
with the existence of market-wide universal impact dynamics which apply
uniformly to all trades and suggests that rather, market dynamics emerge from
the complex interaction of different behaviors of market participants. Several
possible reasons for this are discussed, along with potential extensions one
may consider to increase the range of applicability of existing models of
market impact. | Source: | arXiv, 1109.0119 | Services: | Forum | Review | PDF | Favorites |
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