Crossover from Linear to Square-Root Market Impact.

Clicks: 191
ID: 28500
2019
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Abstract
Using a large database of 8 million institutional trades executed in the U.S. equity market, we establish a clear crossover between a linear market impact regime and a square-root regime as a function of the volume of the order. Our empirical results are remarkably well explained by a recently proposed dynamical theory of liquidity that makes specific predictions about the scaling function describing this crossover. Allowing at least two characteristic timescales for the liquidity ("fast" and "slow") enables one to reach quantitative agreement with the data.
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bucci2019crossoverphysical Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Bucci, Frédéric;Benzaquen, Michael;Lillo, Fabrizio;Bouchaud, Jean-Philippe;
Journal physical review letters
Year 2019
DOI
10.1103/PhysRevLett.122.108302
URL
Keywords Keywords not found

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