Market Impact Decay and Capacity
研究了市场冲击缓慢衰减对交易策略容量的影响，提出了一种灵活估计容量的数值方法，发现慢衰减导致容量估计显著低于以往研究。
Recent studies have documented that market impact decays slowly through time. The author studies the impact of such slow decay on trading strategies’ capacity. To do so, he proposes a numerical methodology to estimate capacity. A key benefit of such a procedure is its flexibility in incorporating any specification of market impact. In particular, because trades tend to be more autocorrelated when capital devoted to a trading strategy increases, capacity is sensitive to assumptions on market impact decay. The slow decay of market impact leads to trading strategy capacity estimates that are significantly lower than shown in previous capacity studies.