Slow Decay of Impact in Equity Markets: Insights From the ANcerno Database

12 Pages Posted: 28 Jan 2019

See all articles by Frederic Bucci

Frederic Bucci

Scuola Normale Superiore

Michael Benzaquen

Ecole Polytechnique, Palaiseau; Capital Fund Management

Fabrizio Lillo

Università di Bologna

Jean-Philippe Bouchaud

Capital Fund Management

Date Written: January 16, 2019

Abstract

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 observed impact must be performed to extract the estimate of the impact decay of isolated metaorders.

Suggested Citation

Bucci, Frederic and Benzaquen, Michael and Benzaquen, Michael and Lillo, Fabrizio and Bouchaud, Jean-Philippe, Slow Decay of Impact in Equity Markets: Insights From the ANcerno Database (January 16, 2019). Available at SSRN: https://ssrn.com/abstract=3316897 or http://dx.doi.org/10.2139/ssrn.3316897

Frederic Bucci

Scuola Normale Superiore ( email )

Piazza dei Cavalieri, 7
Pisa, 56126
Italy

Michael Benzaquen (Contact Author)

Ecole Polytechnique, Palaiseau ( email )

Route de Saclay
Palaiseau, 91128
France

Capital Fund Management ( email )

23 rue de l'Université
Paris, 75007
France

Fabrizio Lillo

Università di Bologna ( email )

Via Zamboni, 33
Bologna, 40126
Italy

Jean-Philippe Bouchaud

Capital Fund Management ( email )

23 rue de l'Université
Paris, 75007
France
+33 1 49 49 59 20 (Phone)

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