# No-dynamic-arbitrage and market impact

@article{Gatheral2009NodynamicarbitrageAM, title={No-dynamic-arbitrage and market impact}, author={Jim Gatheral}, journal={Quantitative Finance}, year={2009}, volume={10}, pages={749 - 759} }

Starting from a no-dynamic-arbitrage principle that imposes that trading costs should be non-negative on average and a simple model for the evolution of market prices, we demonstrate a relationship between the shape of the market impact function describing the average response of the market price to traded quantity and the function that describes the decay of market impact. In particular, we show that the widely assumed exponential decay of market impact is compatible only with linear market… Expand

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No-Arbitrage Implies Power-Law Market Impact and Rough Volatility

- Mathematics, Economics
- 2018

Market impact is the link between the volume of a (large) order and the price move during and after the execution of this order. We show that under no-arbitrage assumption, the market impact function… Expand

No‐Arbitrage Implies Power‐Law Market Impact and Rough Volatility

- Mathematics
- 2020

Market impact is the link between the volume of a (large) order and the price move during and after the execution of this order. We show that under no-arbitrage assumption, the market impact function… Expand

Rigorous Post-Trade Market Impact Measurement and the Price Formation Process

- Economics
- 2010

The availability of liquidity in dark pools raises questions about the adverse selection, market impact, and opportunity cost of executions into such pools. With the new method of modeling and… Expand

Risk-Averse Dynamic Arbitrage in Illiquid Markets

- Economics
- 2017

Arguments on the existence of dynamic arbitrage and price manipulation strategies are often invoked to guide modeling price impacts of large trades. We revisit the concept of dynamic arbitrage in… Expand

Cross-impact and no-dynamic-arbitrage

- Mathematics, Economics
- 2016

We extend the ‘No-dynamic-arbitrage and market impact’-framework of Gatheral [Quant. Finance, 2010, 10(7), 749–759] to the multi-dimensional case where trading in one asset has a cross-impact on the… Expand

Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem

- Economics
- 2012

The viability of a market impact model is usually considered to be equivalent to the absence of price manipulation strategies. By analyzing a model with linear instantaneous, transient, and permanent… Expand

Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem

- Economics
- 2012

The viability of a market impact model is usually considered to be equivalent to the absence of price manipulation strategies. By analyzing a model with linear instantaneous, transient, and permanent… Expand

Nonlinear Price Impact and Portfolio Choice

- Economics
- 2015

In a market with price-impact proportional to a power of the order flow, we derive optimal trading policies and their implied welfare for long-term investors with constant relative risk aversion, who… Expand

Nonlinear price impact and portfolio choice

- Economics
- 2020

In a market with price-impact proportional to a power of the order flow, we derive optimal trading policies and their implied welfare for long-term investors with constant relative risk aversion, who… Expand

Cross-Impact and No-Dynamic-Arbitrage

- Economics
- 2016

We extend the “No-dynamic-arbitrage and market impact”-framework of Jim Gatheral [Quantitative Finance, 10(7): 749-759 (2010)] to the multidimensional case where trading in one asset has a… Expand

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