What the Tokyo data cornucopia reveals about market impact
New research confirms universality of one of the most non-intuitive concepts in quant finance
A study by Japanese academics, based on a vast dataset of trades from the Tokyo Stock Exchange, gives an intriguing insight into the relationship between price impact and the square-root law.
But first, some background. Actively buying or selling an asset moves its price up or down. This is an empirical fact with far‑reaching consequences. It is the transmission belt through which private
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