SSRNTrading, Microstructure & Execution
Trading with Concave Price Impact and Impact Decay - Theory and Evidence
The research examines statistical arbitrage issues, taking into account the nonlinear and temporary price impact of metaorders, and shows that simple trading rules can be established even with nonparametric alpha and liquidity signals.
Featured in No. 25 on 8 Nov 2023 · 2 days after release · 14 citations today · published in Oper. Res.
- Released
- 6 Nov 2023
- First featured
- No. 25 · 8 Nov 2023
- Citations (Semantic Scholar)
- 14
- Influential citations
- 2
- Published in
- Oper. Res.
- Shares when featured
- 120
- Identifier
- SSRN 4625040
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).