In this paper we empirically analyze the permanent price impact of trades by investigating the relation between unexpected net order| flow and price changes. We use intraday data on German index futures. Our analysis based on a neural network model suggests that| the assumption of a linear impact of orders on prices (which is often used in theoretical papers) is highly questionable. Therefore,| empirical studies, comparing the depth of different markets, should be based on the whole price impact function instead of a simple ratio.
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Auch als ZEW Discussion Paper ; 98-10
Dieser Eintrag ist Teil der Universitätsbibliographie.
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