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

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

8 Citations (Scopus)

Résumé

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.

langue originale	Anglais
Pages (de - à)	1763-1766
Nombre de pages	4
journal	Quantitative Finance
Volume	19
Numéro de publication	11
Les DOIs	https://doi.org/10.1080/14697688.2019.1622768
état	Publié - 2 nov. 2019

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10.1080/14697688.2019.1622768

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AU - Mastromatteo, Iacopo

AU - Benzaquen, Michael

AU - Bouchaud, Jean Philippe

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Y1 - 2019/11/2

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.

U2 - 10.1080/14697688.2019.1622768

DO - 10.1080/14697688.2019.1622768

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VL - 19

SP - 1763

EP - 1766

JO - Quantitative Finance

JF - Quantitative Finance

IS - 11

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Impact is not just volatility

Résumé

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