Cumulative market impact of consecutive orders over one and two days: how long does the market remember past trades?

Paul Besson and Matthieu Lasnier

Quantitative Finance, 2022, vol. 22, issue 1, 1-21

Abstract: The market's memory is short-lived—the average impact of trading lasts for only a couple of days

Date: 2022
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DOI: 10.1080/14697688.2021.1942535

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