Beyond the Square Root: Evidence for Logarithmic Dependence of Market Impact on Size and Participation Rate

Beyond the Square Root: Evidence for Logarithmic Dependence of Market Impact on Size and Participation Rate


Type: working-paper

Zarinelli, Elia, Michele Trecciani, J.D. Farmer and F. Lillo (2014). ‘Beyond the square root: Evidence for logarithmic dependence of market impact on size and participation rate’ Working Paper


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