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Individual impact of agent actions in financial markets


  • Alex J. Bladon
  • Esteban Moro
  • Tobias Galla


We present an analysis of the price impact associated with trades effected by different financial firms. Using data from the Spanish Stock Market, we find a high degree of heterogeneity across different market members, both in the instantaneous impact functions and in the time-dependent market response to trades by individual members. This heterogeneity is statistically incompatible with the existence of market-wide universal impact dynamics which apply uniformly to all trades and suggests that rather, market dynamics emerge from the complex interaction of different behaviors of market participants. Several possible reasons for this are discussed, along with potential extensions one may consider to increase the range of applicability of existing models of market impact.

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  • Alex J. Bladon & Esteban Moro & Tobias Galla, 2011. "Individual impact of agent actions in financial markets," Papers 1109.0119,
  • Handle: RePEc:arx:papers:1109.0119

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    References listed on IDEAS

    1. Alev{s} v{C}ern'y & Jan Kallsen, 2007. "On the Structure of General Mean-Variance Hedging Strategies," Papers 0708.1715,, revised Jul 2017.
    2. Friedrich Hubalek & Jan Kallsen & Leszek Krawczyk, 2006. "Variance-optimal hedging for processes with stationary independent increments," Papers math/0607112,
    3. Rosenbaum, Mathieu & Tankov, Peter, 2011. "Asymptotic results for time-changed Lévy processes sampled at hitting times," Stochastic Processes and their Applications, Elsevier, vol. 121(7), pages 1607-1632, July.
    4. Mats Brod'en & Peter Tankov, 2010. "Tracking errors from discrete hedging in exponential L\'evy models," Papers 1003.0709,
    5. Bertsimas, Dimitris & Kogan, Leonid & Lo, Andrew W., 2000. "When is time continuous?," Journal of Financial Economics, Elsevier, vol. 55(2), pages 173-204, February.
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