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The square-root impact law also holds for option markets (1602.03043v1)
Published 9 Feb 2016 in q-fin.TR
Abstract: Many independent studies on stocks and futures contracts have established that market impact is proportional to the square-root of the executed volume. Is market impact quantitatively similar for option markets as well? In order to answer this question, we have analyzed the impact of a large proprietary data set of option trades. We find that the square-root law indeed holds in that case. This finding supports the argument for a universal underlying mechanism.
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