We use transaction level data for twelve stocks with large market capitalization on the Australian Stock Exchange to develop an empirical model for trade sign (trade initiator) inference. The new model is a piecewise linear parameterization of the model proposed recently in Ref. [1]. The space...

We investigate a regularity in market order submission strategies for twelve stocks with large market capitalization on the Australian Stock Exchange. The regularity is evidenced by a predictable relationship between the trade sign (trade initiator), size of the trade, and the contents of the...

We study the immediate price impact of a single trade executed in the Australian Stock Exchange (ASX). By ordering the top 300 stocks on the ASX in order of their free float market capitalization, a clear pattern emerges, with higher cap stocks experiencing lower price impact than lower cap...