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

Frédéric Bucci , Michael Benzaquen (1) , Fabrizio Lillo , Jean-Philippe Bouchaud

1 LadHyX - Laboratoire d'hydrodynamique

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.

Domaines: Finance quantitative [q-fin.CP]

Frédéric Bucci, Michael Benzaquen, Fabrizio Lillo, Jean-Philippe Bouchaud. Slow Decay of Impact in Equity Markets: Insights from the ANcerno Database. Market microstructure and liquidity, 2019, pp.1950006. ⟨10.1142/S2382626619500060⟩. ⟨hal-02323357⟩