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- W3122159249 abstract "Consider a trading environment where trading volume affects security prices. We show that when the price impact is time stationary, only linear price-impact functions rule out arbitrage. This is true whether a single asset or a portfolio of assets is traded. When the temporary and perm" @default.
- W3122159249 created "2021-02-01" @default.
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- W3122159249 date "2000-01-01" @default.
- W3122159249 modified "2023-09-27" @default.
- W3122159249 title "Arbitrage-Free Price-Update and Price-Impact Functions" @default.
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