We report on the occurrence of an anomaly in the price impacts of small transaction volumes following a change in the billing model of an electronic market. We first review evidence for the existence of a master curve for price impact on the Johannesburg Stock Exchange (JSE). On attempting to re-estimate a master curve after fee reductions, it is found that the price impact corresponding to smaller volume trades is greater than expected relative to prior estimates for a sector of stocks.
read more...↧