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...

Market fragmentation : monitoring and history -- Smart order routing -- Tick size; -- Information seeking and price discovery -- Dark pools and broker crossing networks -- Liquidity : the viewpoint of trading venues -- The agenda of high frequency traders -- The link between fragmentation and...