Studying price impact is important in finance and previous work examines the relationship between trade size and price impact on a number of equity markets. In this study, using recent order book data from the London Stock Exchange, we examine the price impact function for six highly-liquid stocks and novelly investigate whether the function displays time-of-day effects. The results show that price impact exhibits a power-law scaling, and that price impact is highest in the first hour of the trading day and lowest in the last ninety minutes of trading.
['Mateusz Wiliński', 'Wei Cui', 'Anthony Brabazon']
An analysis of price impact functions of individual trades on the London Stock Exchange