Analyses of Daily Market Impact Using Execution and Order Book Information
We analyzed the Tokyo Stock Exchange (TSE) for a 29-month period from August 2014 to December 2016, including every transaction and order book snapshot, and confirmed through a simple statistical test that the market impact depends on each stock. Based on a correlation analysis, we found that the ma...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Frontiers Media S.A.
2020-11-01
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| Series: | Frontiers in Physics |
| Subjects: | |
| Online Access: | https://www.frontiersin.org/articles/10.3389/fphy.2020.00366/full |