Stats › Intraday and market microstructure › 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 bp | 0.02 bp | 0.07, t = 18.01 |
| Second | 23 bp | 0.04 bp | not reported |
| Third | 32 bp | 0.08 bp | not reported |
| Fourth | 53 bp | 0.24 bp | not reported |
| Smallest | 118 bp | 0.98 bp | 0.85, t = 8.63 |
| All stocks | 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.
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