Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/24262 
Erscheinungsjahr: 
1998
Schriftenreihe/Nr.: 
ZEW Discussion Papers No. 98-10
Verlag: 
Zentrum für Europäische Wirtschaftsforschung (ZEW), Mannheim
Zusammenfassung: 
In this paper we empirically analyze the permanent price impact of trades by investigating the relation between unexpected net order flow and price changes. We use intraday data on German index futures. Our analysis based on a neural network model suggests that the assumption of a linear impact of orders on prices (which is often used in theoretical papers) is highly questionable. Therefore, empirical studies, comparing the depth of different markets, should be based on the whole price impact function instead of a simple ratio. To allow the market depth to depend on trade volume could open promising avenues for further theoretical research. This could lead to quite different trading strategies as in traditional models.
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
138.29 kB





Publikationen in EconStor sind urheberrechtlich geschützt.