Semua buku

Profesional

Aplikasi Tentang Pelatih Masuk Mulai membaca

Quantitative Finance · Glosarium

Apa itu Impact prefactor?

Definition 11.4 Microstructure and Execution · Bab 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.

Baca dalam konteks →