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Reference for Aggregated Temporary Price Impact
I am wondering if someone knows relevant literature on the joint temporary price impact. The temporary price impact here refers to the difference between the best ask/bid price and transaction price ...
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Can someone explain to me the square root law of market impact?
The square root law is shown here: Market impact, why square root?
Let's say I want to execute 100 lots. But I have never executed before so I have no idea what n is historically. How would I ...
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