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Quantitative Finance · शब्दावली

Impact prefactor क्या है?

Definition 11.4 Microstructure and Execution · अध्याय 11 — The Empirics of Price Impact

In the square-root law I=Yσ (Q/V)δI=Y\sigma\,(Q/V)^{\delta} with δ≈12\delta\approx\tfrac12, where II is the peak impact as a fraction of the price, σ\sigma the daily volatility, QQ the metaorder’s size and VV the daily volume, the impact prefactor YY is the dimensionless constant, of order one, that sets the level.

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