Impact is not just volatility

Frédéric Bucci, Iacopo Mastromatteo, Michael Benzaquen and Jean-Philippe Bouchaud

Quantitative Finance, 2019, vol. 19, issue 11, 1763-1766

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

Date: 2019
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DOI: 10.1080/14697688.2019.1622768

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