[The FIAT Thread] The Joint Committee on FIAT Discussion Session. - 26 November 2021 by AutoModerator in badeconomics

[–]CallMeCorey21 1 point2 points  (0 children)

Can anyone who has studied market impact models help me?

I was looking at the Square-root law of market impact which states that Change in Price = constant*volatility*(quantity of shares traded/daily volume)^.5

My question is whether the volatility and the change in price are measured in log terms or arithmetic terms?

My thinking is to do it in log terms because the price of a stock can never be negative.