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Results tagged with market-microstructure
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user 34947
Market microstructure is generally speaking the way markets are organized at the impact of there structure on the price formation process.
8
votes
Market impact, why square root?
My understanding (devoid of any mathematical grounding) is as follows.
v = Turnover PER UNIT TIME
n = Shares you need to execute
therefore
n/v = Number of units of time required to execute your s …
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