A simple microstructural explanation of the concavity of price impact (Q6054404)
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scientific article; zbMATH DE number 7743060
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A simple microstructural explanation of the concavity of price impact |
scientific article; zbMATH DE number 7743060 |
Statements
A simple microstructural explanation of the concavity of price impact (English)
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28 September 2023
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concave price impact
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ergodic diffusion
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market microstructure
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meta-order
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microprice
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VWAP strategy
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