  Given a projective hyper-K\"ahler manifold $X$, we study the asymptotic base
loci of big divisors on $X$. We provide a numerical characterization of these
loci and study how they vary while moving a big divisor class in the big cone,
using the divisorial Zariski decomposition, and the Beauville-Bogomolov-Fujiki
form. We determine the dual of the cones of $k$-ample divisors
$\mathrm{Amp}_k(X)$, for any $1\leq k \leq \mathrm{dim}(X)$, answering
affirmatively (in the case of projective hyper-K\"ahler manifolds) a question
asked by Sam Payne. We provide a decomposition for the effective cone
$\mathrm{Eff}(X)$ into chambers of Mori-type, analogous to that for Mori dream
spaces into Mori chambers. To conclude, we illustrate our results with several
examples.
