Analysis of market impact

The standard reference for market impact analyses is: http://www.courant.nyu.edu/~almgren/papers/optliq.pdf

/bjorn

28 dec 2009 kl. 07.41 skrev Megh <megh700004 at yahoo.com>:
Hi all, Merry Christmas and happy new year

Here I am into some analysis on, maximum how many lots a market  
perticipant
can buy/sell in a particular day, on a particular futures contract  
without
altering the normal market dynamics and in what extend dynamics  
would be
influenced for some trade exceeding that stipulated amount.

Data I have is, contract-wise high, low, open, close quote as well  
as traded
volume on daily basis. Can experts here point out how should I do  
that. Any
references/published papers/books will be highly helpful to me.

Thanks and regards,
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Analysis of market impact

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