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- W3121443693 abstract "Using a large database of 8 million institutional trades executed in the U.S. equity market, we establish a clear crossover between a linear market impact regime and a square-root regime as a function of the volume of the order. Our empirical results are remarkably well explained by a recently proposed dynamical theory of liquidity that makes specific predictions about the scaling function describing this crossover. Allowing at least two characteristic time scales for the liquidity (`fast' and `slow') enables one to reach quantitative agreement with the data." @default.
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- W3121443693 date "2018-01-01" @default.
- W3121443693 modified "2023-09-30" @default.
- W3121443693 title "Crossover from linear to square-Root market impact" @default.
- W3121443693 hasPublicationYear "2018" @default.
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