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Impact is not just volatility

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  • Frédéric Bucci
  • Iacopo Mastromatteo
  • Michael Benzaquen
  • Jean-Philippe Bouchaud

Abstract

With a simple scaling argument we show empirically that impact growing as the square-root of trading volume has nothing to do with diffusion price changes growing as the square root of time

Suggested Citation

  • Frédéric Bucci & Iacopo Mastromatteo & Michael Benzaquen & Jean-Philippe Bouchaud, 2019. "Impact is not just volatility," Quantitative Finance, Taylor & Francis Journals, vol. 19(11), pages 1763-1766, November.
    • Handle: RePEc:taf:quantf:v:19:y:2019:i:11:p:1763-1766
    DOI: 10.1080/14697688.2019.1622768
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    Cited by:

    1. Jean-Philippe Bouchaud, 2021. "The Inelastic Market Hypothesis: A Microstructural Interpretation," Papers 2108.00242, arXiv.org, revised Jan 2022.
    2. Claudio Bellani & Damiano Brigo & Mikko Pakkanen & Leandro Sanchez-Betancourt, 2021. "Non-average price impact in order-driven markets," Papers 2110.00771, arXiv.org, revised Jan 2022.
    3. Fabrizio Lillo, 2021. "Order flow and price formation," Papers 2105.00521, arXiv.org.

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