[R-SIG-Finance] Analysis of market impact

[Megh]

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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