SSRNTrading, Microstructure & Execution
Dynamic Price Impact Model
A dynamic model reveals that the predictability of noise trading flows influences return predictability at both individual asset and factor levels, potentially causing asset price bubbles when flows show excessive momentum.
Featured in No. 17 on 28 Sep 2023 ·
- Released
- 23 Nov 2022
- First featured
- No. 17 · 28 Sep 2023
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 234
- Identifier
- SSRN 4584375
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).