The market impact (MI) of Volume Weighted Average Price (VWAP) orders is a slightly convex function of a trading rate, but most empirical estimates of transaction cost are concave functions. How is this possible? We suggest a model that ts all trading regimes and guarantees no-dynamic-arbitrage

The market impact (MI) of Volume Weighted Average Price (VWAP) orders is a convex function of a trading rate, but most empirical estimates of transaction cost are concave functions. How is this possible? We show that isochronic (constant trading time) MI is slightly convex, and isochoric...