In this paper, we use a database of around 400,000 metaorders issued by investors and electronically traded on European markets in 2010 in order to study market impact at different scales.At the intraday scale we confirm a square root temporary impact in the daily participation, and we shed light on a duration factor in 1/T γ with γ 0.25. Including this factor in the fits reinforces the square root shape of impact. We observe a power-law for the transient impact with an exponent between 0.5 (for long metaorders) and 0.8 (for shorter ones). Moreover we show that the market does not anticipate the size of the meta-orders. The intraday decay seems to exhibit two regimes (though hard to identify precisely): a "slow" regime right after the execution of the meta-order followed by a faster one. At the daily time scale, we show price moves after a metaorder can be split between realizations of expected returns that have triggered the investing decision and an idiosynchratic impact that slowly decays to zero.Moreover we propose a class of toy models based on Hawkes processes (the Hawkes Impact Models, HIM) to illustrate our reasoning. We show how the Impulsive-HIM model, despite its simplicity, embeds appealing features like transience and decay of impact. The latter is parametrized by a parameter C having a macroscopic interpretation: the ratio of contrarian reaction (i.e. impact decay) and of the "herding" reaction (i.e. impact amplification).

In this paper, we use a database of around 400,000 metaorders issued by investors and electronically traded on European markets in 2010 in order to study market impact at different scales.At the intraday scale we confirm a square root temporary impact in the daily participation, and we shed light on a duration factor in 1/T γ with γ 0.25. Including this factor in the fits reinforces the square root shape of impact. We observe a power-law for the transient impact with an exponent between 0.5 (for long metaorders) and 0.8 (for shorter ones). Moreover we show that the market does not anticipate the size of the meta-orders. The intraday decay seems to exhibit two regimes (though hard to identify precisely): a "slow" regime right after the execution of the meta-order followed by a faster one. At the daily time scale, we show price moves after a metaorder can be split between realizations of expected returns that have triggered the investing decision and an idiosynchratic impact that slowly decays to zero.Moreover we propose a class of toy models based on Hawkes processes (the Hawkes Impact Models, HIM) to illustrate our reasoning. We show how the Impulsive-HIM model, despite its simplicity, embeds appealing features like transience and decay of impact. The latter is parametrized by a parameter C having a macroscopic interpretation: the ratio of contrarian reaction (i.e. impact decay) and of the "herding" reaction (i.e. impact amplification). 1 A metaorder refers to a large investor buy or sell order which is executed as a succession of smaller orders.

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We leverage Kepler Cheuvreux client order database over the period October 2014 — October 2016 (349,442 trades corresponding to a EUR92.3bn turnover) to estimate new models of market impact. We find a multiplicative relationship between the market impact and the explanatory factors (the volatility, the trading period participation rate and the trading duration). Furthermore, the relationship between the participation rate and the duration on one side and the market impact on the other is concave, with the effect of the participation rate on the market impact scaling as a square root. We introduce a new indicator of resiliency, which measures the ability of the order book to resist the aggressive order flow in a given period. This indicator shows a positive correlation with the residuals of our standard model of market impact, clearly demonstrating that the more resilient the stock, the more resistant it is to market impact. Thus, we are able to calibrate an enhanced model of market impact using our indicator of resiliency, which improves the explanatory power of the model compared to standard approaches. Our resiliency indicator thereby exposes the relationship between the market impact at the meta-order scale and the market impact at the elementary trade scale.

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