Stats › Intraday et microstructure de marché › Order flow impact
A hundred thousand dollars of inventory moves a small stock by 0.98 per cent and a large one by 0.02
| Size quintile | Price pressure | Marginal pressure per 1,000 dollars | Efficient price response |
|---|---|---|---|
| Largest | 17 pb | 0.02 bp | 0.07, t = 18.01 |
| Deuxième | 23 bp | 0.04 bp | non communiqué |
| Troisième | 32 bp | 0.08 bp | non communiqué |
| Quatrième | 53 bp | 0.24 bp | non communiqué |
| Smallest | 118 bp | 0.98 bp | 0.85, t = 8.63 |
| Toutes les actions | 49 bp | 0.27 bp, t = 11.01 | 0.34, t = 12.82 |
A balanced panel of 697 listed common stocks from January 1994 to December 2005, using proprietary specialist inventory positions against daily end of day midpoints. The paper's stated summary is that a hundred thousand dollar inventory shock causes 0.98 per cent price pressure in small stocks and 0.02 per cent in large ones, a factor of forty nine across the size range.
Measured on twelve years of market maker inventory positions, average transitory price pressure is 49 basis points with a half life of 0.92 days. It is 17 basis points in the largest stocks and 118 in the smallest.
Réservé aux membres
La suite de cette page est réservée aux membres
Below this point there are 5 sections, 1 table and 3 named sources, roughly 850 words of it. Every figure carries the source it came from and the date the data is from.
Vous pouvez continuer à parcourir gratuitement toutes les statistiques de la bibliothèque. L'introduction et le résumé sont toujours accessibles.