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

By Chris Angstmann, Tim Gebbie

Published 2026-06-19

Everscope rating

1645

Relevance to quantitative trading

8 / 10

Implementation complexity

9 / 10

Reproducibility

3 / 5

About this paper

Methodology: Discrete non-uniform reaction-diffusion model with continuum limit and renewal-theoretic analysis. Problem types: Market Impact Modeling, Order Flow Analysis, Algorithmic Execution, Market Making, Theoretical Price Formation.

arXiv:2606.16269 · Paper rankings

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