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What is Market Impact of Investor Metaorders about?

This paper analyzes the market impact of large investor metaorders using a dataset of approximately 400,000 orders from European markets in 2010. It identifies a square root temporary impact and explores the transient and decay impacts of these orders, proposing a class of toy models based on Hawkes processes to illustrate these effects. The findings aim to inform market microstructure regulations to reduce trading costs and improve investor allocation in listed firms.

Author

Lokesh Kumar

Language

EN