Impact is not just volatility

Frédéric Bucci; Iacopo Mastromatteo; Michael Benzaquen; Jean Philippe Bouchaud

doi:10.1080/14697688.2019.1622768

Impact is not just volatility

Frédéric Bucci
, Iacopo Mastromatteo
, Michael Benzaquen
, Jean Philippe Bouchaud

Scuola Normale Superiore di Pisa
Chair of Econophysics and Complex Systems
Capital Fund Management
Mathematics Department
Imperial College London

Research output: Contribution to journal › Article › peer-review

8 Citations (Scopus)

Abstract

With a simple scaling argument we show empirically that impact growing as the square-root of trading volume has nothing to do with diffusion price changes growing as the square root of time.

Original language	English
Pages (from-to)	1763-1766
Number of pages	4
Journal	Quantitative Finance
Volume	19
Issue number	11
DOIs	https://doi.org/10.1080/14697688.2019.1622768
Publication status	Published - 2 Nov 2019

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title = "Impact is not just volatility",

abstract = "With a simple scaling argument we show empirically that impact growing as the square-root of trading volume has nothing to do with diffusion price changes growing as the square root of time.",

author = "Fr{\'e}d{\'e}ric Bucci and Iacopo Mastromatteo and Michael Benzaquen and Bouchaud, \{Jean Philippe\}",

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AU - Benzaquen, Michael

AU - Bouchaud, Jean Philippe

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N2 - With a simple scaling argument we show empirically that impact growing as the square-root of trading volume has nothing to do with diffusion price changes growing as the square root of time.

AB - With a simple scaling argument we show empirically that impact growing as the square-root of trading volume has nothing to do with diffusion price changes growing as the square root of time.

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SP - 1763

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JO - Quantitative Finance

JF - Quantitative Finance

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Impact is not just volatility

Abstract

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