  We empirically study the market impact of trading orders. We are specifically
interested in large trading orders that are executed incrementally, which we
call hidden orders. These are reconstructed based on information about market
member codes using data from the Spanish Stock Market and the London Stock
Exchange. We find that market impact is strongly concave, approximately
increasing as the square root of order size. Furthermore, as a given order is
executed, the impact grows in time according to a power-law; after the order is
finished, it reverts to a level of about 0.5-0.7 of its value at its peak. We
observe that hidden orders are executed at a rate that more or less matches
trading in the overall market, except for small deviations at the beginning and
end of the order.
