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Quantitative Finance · Begrippenlijst

Wat is Impact curve?

Definition 11.1 Microstructure and Execution · Hoofdstuk 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.

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