Relationships between market impact characteristics and order book properties

摘要

We analyzed the historical data set of the Tokyo Stock Exchange (TSE) for a 17-month period from August 2014 to December 2015 which includes every transaction and order book snapshot, and found two major relationships: (i) a proportional relationship between the return of the market price and the order imbalance of the executed volume, and (ii) an inverse proportional relationship between the market impact and the averaged order book volume. In this analysis, we focus on daily and monthly time scale. We also introduce estimation results of transaction costs for a practical application of our studies.