We develop a theory for the market impact of large trading orders, which we call metaorders because they are typically split into small pieces and executed incrementally. Market impact is empirically observed to be a concave function of metaorder size, i.e., the impact per share of large...

We investigate how the dynamics of supply and demand affect the relationship between aggregated order flow and returns/market impact. We classify order flow according to the different event types that comprise it: Limit orders, cancelations and market orders executed against displayed or hidden...

We develop a theory for the market impact of large trading orders, which we call metaorders because they are typically split into small pieces and executed incrementally. Market impact is empirically observed to be a concave function of metaorder size, i.e. the impact per share of large...

Starting from basic hypotheses on how footprints from hidden orders are interpreted by short-term traders, we derive a fair price model that predicts market impact for non-uniform participation rate schedules. We use this model to derive an optimal execution schedule for a risk-averse trader....

We examine information, market impact and trade sizes using a data-set of institutional trades where approximately 1/4 of the orders are labeled as having been created for cash flow purposes. We find that during the execution the functional form and scale of market impact are similar for cash...

Using publicly-available market data we construct a three component order flow imbalance vector that represents executions against displayed quotes, executions against dark liquidity and the net imbalance in the flow of limit orders. The main accomplishment of this paper is to provide empirical...

We propose a static equilibrium model for limit order book where $N\geq 1$ profit-maximizing investors receive an information signal regarding the liquidation value of the asset and execute via a competitive dealer with random initial inventory. While the dealer's initial position plays a role...

We investigate the role of execution quality in portfolio performance attribution. We show how conventional Transaction Cost Analysis (TCA) rewards behavioral trading practices that in some cases hurt rather than help portfolio performance. To align the incentives of the trading desk with...

Net corporate profits have persisted at historical highs for almost 10 years. Such levels exceed what can be profitably re-invested, as evidenced by aggregate dividend payouts and buybacks nearing 6% of GDP. We argue that at such levels corporate profits operate effectively as a tax on the...