Mechanical vs. informational components of price impact
We study the problem of what causes prices to change. It is well known that trading impacts prices — orders to buy drive the price up, and orders to sell drive it down. We introduce a means of decomposing the total impact of trading into two components, defining the mechanical impact of a tradin...
| Auteurs principaux: | , |
|---|---|
| Format: | Journal article |
| Publié: |
2007
|