Cumulative market impact of consecutive orders over one and two days: how long does the market remember past trades?

Paul Besson, Matthieu Lasnier

https://doi.org/10.1080/14697688.2021.1942535

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Journal: Quantitative Finance	Publication Date: Oct 6, 2021
Citations: 2

Abstract

The market's memory is short-lived—the average impact of trading lasts for only a couple of days

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