pith. sign in

arxiv: 0903.2428 · v1 · pith:DTRYZ5USnew · submitted 2009-03-13 · 💱 q-fin.TR · q-fin.GN

Price Impact

J.P. Bouchaud (Capital Fund Management) This is my paper
classification 💱 q-fin.TR q-fin.GN
keywords impactpricefloworderpricesallowsalthoughchanges
0
0 comments X
read the original abstract

We define what "Price Impact" means, and how it is measured and modelled in the recent literature. Although this notion seems to convey the idea of a forceful and intuitive mechanism, we discuss why things might not be that simple. Empirical studies show that while the correlation between signed order flow and price changes is strong, the impact of trades on prices is neither linear in volume nor permanent. Impact allows private information to be reflected in prices, but by the same token, random fluctuations in order flow must also contribute to the volatility of markets.

This paper has not been read by Pith yet.

discussion (0)

Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.

Forward citations

Cited by 1 Pith paper

Reviewed papers in the Pith corpus that reference this work. Sorted by Pith novelty score.

  1. MadEvolve: Evolutionary Optimization of Trading Systems with Large Language Models

    q-fin.TR 2026-05 unverdicted novelty 4.0

    MadEvolve uses LLMs for evolutionary optimization of trading strategies and reports significant backtest improvements on Bitcoin tasks including signal feature evolution and joint strategy optimization.