Iori, G.; Daniels, M.G.; Farmer, J.D.; Gillemot, L.; … - In: Physica A: Statistical Mechanics and its Applications 324 (2003) 1, pp. 146-151
dimensional analysis, simulations and analytical approximations to make testable predictions of the price impact function. We find … that the price impact function is always concave, in agreement with empirical measurements. We provide an explanation for …
