Mathieu Rosenbaum

The two square root laws of market impact and the role of sophisticated market participants

The goal of this paper is to disentangle the roles of volume and of participation rate in the price response of the market to a sequence of transactions. To do so, we are inspired the methodology introduced in (Quant. Finance 15 (2015) 1123–1135; Math. Finance 30 (2020) 1309–1336...