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 Read More: http://www.worldscientific.com/doi/abs/10.1142/S2382626615500045?journalCode=mml


Type: paper

Zarinelli, E., Trecciani, M., Farmer, J. D. and Lillo, F. (2015). “Beyond the Square Root: Evidence for Logarithmic Dependence of Market Impact on Size and Participation Rate”. Market Microstructure and Liquidity, 1,1


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