A simple microstructural explanation of the concavity of price impact

DOI10.1111/mafi.12314zbMath1522.91248arXiv2001.01860OpenAlexW3166112588MaRDI QIDQ6054404

Sergey Nadtochiy

Publication date: 28 September 2023

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2001.01860

zbMATH Keywords

market microstructureergodic diffusionVWAP strategyconcave price impactmeta-ordermicroprice

Mathematics Subject Classification ID

Financial markets (91G15)

Related Items (1)

Short Communication: Utility Indifference Pricing with High Risk Aversion and Small Linear Price Impact

Cites Work

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• How efficiency shapes market impact
• VWAP execution as an optimal strategy
• Control-Stopping Games for Market Microstructure and Beyond
• Institutional Investors and Stock Market Volatility
• Liquidity effects of trading frequency
• Market Microstructure Invariance: Empirical Hypotheses
• Endogenous Formation of Limit Order Books: Dynamics Between Trades
• A fully consistent, minimal model for non-linear market impact
• No‐arbitrage implies power‐law market impact and rough volatility

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