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- W2803897013 abstract "Market impact is the link between the volume of a (large) order and the price move during and after the execution of this order. We show that under no-arbitrage assumption, the market impact function can only be of power-law type. Furthermore, we prove that this implies that the macroscopic price is diffusive with rough volatility, with a one-to-one correspondence between the exponent of the impact function and the Hurst parameter of the volatility. Hence we simply explain the universal rough behavior of the volatility as a consequence of the no-arbitrage property. From a mathematical viewpoint, our study relies in particular on new results about hyper-rough stochastic Volterra equations." @default.
- W2803897013 created "2018-06-01" @default.
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- W2803897013 date "2018-05-18" @default.
- W2803897013 modified "2023-09-27" @default.
- W2803897013 title "No-arbitrage implies power-law market impact and rough volatility" @default.
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