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We develop a theory for the market impact of large trading orders, which we call <italic>metaorders</italic> because they are typically split into small pieces and executed incrementally. Market impact is empirically observed to be a concave function of metaorder size, i.e. the impact per share of large...
Persistent link: https://www.econbiz.de/10010976181
We develop a theory for the market impact of large trading orders, which we call metaorders because they are typically split into small pieces and executed incrementally. Market impact is empirically observed to be a concave function of metaorder size, i.e., the impact per share of large...
Persistent link: https://www.econbiz.de/10008855772
Persistent link: https://www.econbiz.de/10008675071