Stock Exchange stocks, we decompose the shape of the immediate price impact function to main three components, slope …

Stock Exchange stocks, we decompose the shape of the immediate price impact function to main three components, slope …

study we show how the price impact function can be estimated from order book data. Our estimation is based on the Budapest … importance, as the price impact function can be a useful tool during a dynamic portfolio optimization process. The price impact …

-impact costs are taken into account. A non-linear price-impact function is individually estimated for 5173 stocks to assess the … concave price-impact function tends to assign a higher impact cost to mid-size trades and a lower impact to large-size trades …

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 …