Crossover from Linear to Square-Root Market Impact
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Abstract
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DOI: 10.1103/PhysRevLett.122.108302
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Cited by:
- Mohammed Salek & Damien Challet & Ioane Muni Toke, 2023.
"Price impact in equity auctions: zero, then linear,"
Working Papers
hal-03938660, HAL.
- Mohammed Salek & Damien Challet & Ioane Muni Toke, 2023. "Price impact in equity auctions: zero, then linear," Papers 2301.05677, arXiv.org, revised Sep 2023.
- Fr'ed'eric Bucci & Iacopo Mastromatteo & Michael Benzaquen & Jean-Philippe Bouchaud, 2019. "Impact is not just volatility," Papers 1905.04569, arXiv.org.
- David Marcos, 2020. "Transaction Costs in Execution Trading," Papers 2007.07998, arXiv.org.
- Shota Imaki & Kentaro Imajo & Katsuya Ito & Kentaro Minami & Kei Nakagawa, 2021. "No-Transaction Band Network: A Neural Network Architecture for Efficient Deep Hedging," Papers 2103.01775, arXiv.org.
- Stanis{l}aw Dro.zd.z & Jaros{l}aw Kwapie'n & Marcin Wk{a}torek, 2023. "What is mature and what is still emerging in the cryptocurrency market?," Papers 2305.05751, arXiv.org.
- Fabrizio Lillo, 2021. "Order flow and price formation," Papers 2105.00521, arXiv.org.
- Sergey Nadtochiy, 2020. "A simple microstructural explanation of the concavity of price impact," Papers 2001.01860, arXiv.org, revised Dec 2020.
- Roncalli, Thierry & Cherief, Amina & Karray-Meziou, Fatma & Regnault, Margaux, 2021.
"Liquidity Stress Testing in Asset Management - Part 2. Modeling the Asset Liquidity Risk,"
MPRA Paper
108295, University Library of Munich, Germany.
- Thierry Roncalli & Amina Cherief & Fatma Karray-Meziou & Margaux Regnault, 2021. "Liquidity Stress Testing in Asset Management -- Part 2. Modeling the Asset Liquidity Risk," Papers 2105.08377, arXiv.org.
- Louis Saddier & Matteo Marsili, 2023. "A Bayesian theory of market impact," Papers 2303.08867, arXiv.org, revised May 2024.
- Lukas Gonon & Johannes Muhle‐Karbe & Xiaofei Shi, 2021. "Asset pricing with general transaction costs: Theory and numerics," Mathematical Finance, Wiley Blackwell, vol. 31(2), pages 595-648, April.
- Frédéric Bucci & Iacopo Mastromatteo & Michael Benzaquen & Jean-Philippe Bouchaud, 2019. "Impact is not just volatility," Post-Print hal-02323182, HAL.
- Sergey Nadtochiy, 2022. "A simple microstructural explanation of the concavity of price impact," Mathematical Finance, Wiley Blackwell, vol. 32(1), pages 78-113, January.
- Rodriguez, E. & Alvarez-Ramirez, J., 2021. "Time-varying cross-correlation between trading volume and returns in US stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 581(C).
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-MST-2019-12-23 (Market Microstructure)
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