A coupled reaction-diffusion model of order books yields the LMF trade-sign long memory and square-root meta-order impact, reinterpreted as event-time versus physical-time statements with subordination effects.
A simple microstructural expla- nation of the concavity of price impact
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Revisiting Trade-sign Long-memory and Square-root Law price impact
A coupled reaction-diffusion model of order books yields the LMF trade-sign long memory and square-root meta-order impact, reinterpreted as event-time versus physical-time statements with subordination effects.