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Quantitative Finance · Glossaire

Qu'est-ce que « Aggregate impact » ?

Definition 11.2 Microstructure and Execution · Chapitre 11 — The Empirics of Price Impact

Aggregate impact is the mean price change over an interval as a function of the interval’s signed order flow (buys less sells), whoever traded.

Impact at two scales in the simulated market. Left: the mean mid move in the direction of a market order, by its size, against the number of orders since. Right: the mid change over ten-second intervals against their net signed volume, binned. Data: mx_impact.single_and_aggregate.
Figure 11.1. Impact at two scales in the simulated market. Left: the mean mid move in the direction of a market order, by its size, against the number of orders since. Right: the mid change over ten-second intervals against their net signed volume, binned. Data: mx_impact.single_and_aggregate.
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