New answers tagged market-impact
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Computing market impact from the order book?
If you have a tick by tick series you can plot cumulative Price*Volume on X axis and prices on Y axis in a XY scatter plot. Then you can derive market impact from the steepness of the resulting line ...
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The noise trader explanation of concave market impact
Generally any simple agent-based model where one assumes that one agent is a noise trader, an unsophisticated trader that generally has little predictive power in their trading behaviour, is a "...
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