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• W2963762912 abstract "We present an empirical study of price reversion after the executed metaorders. We use a dataset 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 [Formula: see text] of the peak impact, the decay continues for the next few days, following a power-law function at short-time scales, and converges to a non-zero asymptotic value at long-time scales ([Formula: see text] days) equal to [Formula: see text] of the impact at the end of the first day, that is [Formula: see text] of peak impact. 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." @default.
• W2963762912 created "2019-07-30" @default.
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• W2963762912 date "2018-09-01" @default.
• W2963762912 modified "2023-09-30" @default.
• W2963762912 title "Slow Decay of Impact in Equity Markets: Insights from the ANcerno Database" @default.
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• W2963762912 doi "https://doi.org/10.1142/s2382626619500060" @default.
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