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1 result for “SQRL”

Revisiting Trade-sign Long-memory and Square-root Law price impactq-fin.TR

Revisiting Trade-sign Long-memory and Square-root Law price impact

problem Revisiting the Lillo-Mike-Farmer (LMF) theory and the square-root law (SQRL) of meta-order impact

method Using a coupled discrete reaction-diffusion formulation

result Long-memory of trade signs and square-root law of meta-order impact

LMF SQRL meta-order order book microstructure

2026-06-15abs ↗pdf ↗