Papers
Topics
Authors
Recent
Gemini 2.5 Flash
Gemini 2.5 Flash
173 tokens/sec
GPT-4o
7 tokens/sec
Gemini 2.5 Pro Pro
46 tokens/sec
o3 Pro
4 tokens/sec
GPT-4.1 Pro
38 tokens/sec
DeepSeek R1 via Azure Pro
28 tokens/sec
2000 character limit reached

Crossover from linear to square-Root market impact (1811.05230v1)

Published 13 Nov 2018 in q-fin.TR and cond-mat.stat-mech

Abstract: Using a large database of 8 million institutional trades executed in the U.S. equity market, we establish a clear crossover between a linear market impact regime and a square-root regime as a function of the volume of the order. Our empirical results are remarkably well explained by a recently proposed dynamical theory of liquidity that makes specific predictions about the scaling function describing this crossover. Allowing at least two characteristic time scales for the liquidity (fast' andslow') enables one to reach quantitative agreement with the data.

Citations (26)

Summary

We haven't generated a summary for this paper yet.

X Twitter Logo Streamline Icon: https://streamlinehq.com