Chapter 18: Transaction Costs
Square-Root Market Impact and Participation-Based Cost Models advanced
"Markets self-organize into a critical state where liquidity vanishes linearly near the current price." -- Toth et al. (2011)
"Markets self-organize into a critical state where liquidity vanishes linearly near the current price." -- Toth et al. (2011)
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References
Continuous Auctions and Insider Trading
Albert S. Kyle
(1985)
— Econometrica
Market Impact: Empirical Evidence, Theory and Practice
Emilio Said
(2022)
Market Impact Decay and Capacity
Hector Chan
(2022)
— The Journal of Portfolio Management
Does the square-root price impact law belong to the strict universal scalings?: quantitative support by a complete survey of the Tokyo stock exchange market
Yuki Sato, Kiyoshi Kanazawa
(2024)
Trading Costs
Andrea Frazzini, Ronen Israel, Tobias J. Moskowitz
(2018)
Anomalous price impact and the critical nature of liquidity in financial markets
Bence Toth, Yves Lemperiere, Cyril Deremble, Joachim de Lataillade, Julien Kockelkoren, Jean-Philippe Bouchaud
(2011)
— Physical Review X