Market impacts and the life cycle of investors orders
Emmanuel Bacry, Adrian Iuga, Matthieu Lasnier, Charles-Albert Lehalle

TL;DR
This study analyzes the market impact of investor metaorders in European markets, confirming a square root impact law, exploring impact decay, and proposing Hawkes process-based models to explain observed phenomena.
Contribution
It provides empirical evidence of impact dynamics at different scales and introduces Hawkes Impact Models to theoretically capture these effects.
Findings
Square root temporary impact confirmed at intraday scale
Impact decay exhibits two regimes post-execution
Hawkes Impact Models effectively illustrate impact transience and decay
Abstract
In this paper, we use a database of around 400,000 metaorders issued by investors and electronically traded on European markets in 2010 in order to study market impact at different scales. At the intraday scale we confirm a square root temporary impact in the daily participation, and we shed light on a duration factor in with . Including this factor in the fits reinforces the square root shape of impact. We observe a power-law for the transient impact with an exponent between (for long metaorders) and (for shorter ones). Moreover we show that the market does not anticipate the size of the meta-orders. The intraday decay seems to exhibit two regimes (though hard to identify precisely): a "slow" regime right after the execution of the meta-order followed by a faster one. At the daily time scale, we show price moves after a metaorder can be…
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