Deviations in expected price impact for small transaction volumes under fee restructuring

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• 作者：M. Harvey ; ^{michael.harvey@students.wits.ac.za} ; D. Hendricks ; T. Gebbie ; D. Wilcox
• 关键词：Price impact ; Fee structure change ; Market regulation ; Master curve ; Market microstructure ; Electronic limit order book
• 刊名：Physica A: Statistical Mechanics and its Applications
• 出版年：2017
• 出版时间：1 April 2017
• 年：2017
• 卷：471
• 期：Complete
• 页码：416-426
• 全文大小：1091 K
• 卷排序：471

文摘

Price impact is studied around a change in fee structure of an electronic market. A master curve for price impact is estimated for three major sectors of stocks. Increased price impact for low volume trades is observed after fee restructuring.