Work

Strict Universality of the Square-Root Law in Price Impact across Stocks: A Complete Survey of the Tokyo Stock Exchange

Year: 2025

Type: article

Source: Physical Review Letters

DOI: 10.1103/65jz-81kv

Authors: Yuki Sato, Kiyoshi Kanazawa

Institution: Kyoto University

Language: English

Topic: Complex Systems and Time Series Analysis

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funder: Japan Society for the Promotion of Science

Awards: ミクロデータ解析に基づく金融市場のモデル化：金融市場の非線形応答の普遍性の解明, G351366472, G433087683, G5286571067, How should we quantify market liquidity in the presence of large metaorder splitting by institutional investors?

OpenAlex ID: W4417268251

FWCI: 4.735

Cites: 30

Cited by: 5

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