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.
Quantitative Finance · शब्दावली
Quantitative Finance · शब्दावली
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.