---
title: Dynamic Price Impact Model
url: https://www.ml-quant.com/papers/ssrn/4584375/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4584375
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4584375
featured: 2023-09-28
citations: unknown
topic: Trading, Microstructure & Execution
---


# Dynamic Price Impact Model

A dynamic model reveals that the predictability of noise trading flows influences return predictability at both individual asset and factor levels, potentially causing asset price bubbles when flows show excessive momentum.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4584375
- Identifier: SSRN 4584375
- Released: 2022-11-23
- First featured: Quant Letter No. 17 (2023-09-28): https://www.ml-quant.com/issues/2023-09-28/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Trading, Microstructure & Execution

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