Plerou, Vasiliki; Gopikrishnan, Parameswaran; Gabaix, Xavier - arXiv.org - 2004
origin of power-law distributions in stock price fluctuations. First, we extend our previous analysis to 1000 US stocks and … perform a new estimation of market impact that accounts for splitting of large orders and potential autocorrelations in the … market impact for large volumes, in contrast to the claim of FL that this relationship increases as a power law with a …