Tous les livres

Professionnel

Applis À propos Coach Connexion Commencer la lecture

Quantitative Finance · Glossaire

Qu'est-ce que « Impact curve » ?

Definition 11.1 Microstructure and Execution · Chapitre 11 — The Empirics of Price Impact

An impact curve is the mean price move in the direction of a trade, or of a metaorder, as a function of the time since it started (the response function of a single trade, in trades or seconds) or of its size.

Lire dans le chapitre →