A simple microstructural explanation of the concavity of price impact (Q6054404)

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scientific article; zbMATH DE number 7743060
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A simple microstructural explanation of the concavity of price impact
scientific article; zbMATH DE number 7743060

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    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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