A simple microstructural explanation of the concavity of price impact (Q6054404)
From MaRDI portal
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)
0 references
28 September 2023
0 references
concave price impact
0 references
ergodic diffusion
0 references
market microstructure
0 references
meta-order
0 references
microprice
0 references
VWAP strategy
0 references