{"id":"https://openalex.org/W4408694833","doi":"https://doi.org/10.1287/opre.2023.0620","title":"Trading with Concave Price Impact and Impact Decay\u2014Theory and Evidence","display_name":"Trading with Concave Price Impact and Impact Decay\u2014Theory and Evidence","publication_year":2025,"publication_date":"2025-03-21","ids":{"openalex":"https://openalex.org/W4408694833","doi":"https://doi.org/10.1287/opre.2023.0620"},"language":"en","primary_location":{"id":"doi:10.1287/opre.2023.0620","is_oa":true,"landing_page_url":"https://doi.org/10.1287/opre.2023.0620","pdf_url":"https://pubsonline.informs.org/doi/pdf/10.1287/opre.2023.0620","source":{"id":"https://openalex.org/S125775545","display_name":"Operations Research","issn_l":"0030-364X","issn":["0030-364X","1526-5463"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310315699","host_organization_name":"Institute for Operations Research and the Management Sciences","host_organization_lineage":["https://openalex.org/P4310315699"],"host_organization_lineage_names":["Institute for Operations Research and the Management Sciences"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Operations Research","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"bronze","oa_url":"https://pubsonline.informs.org/doi/pdf/10.1287/opre.2023.0620","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5092081573","display_name":"Natascha Hey","orcid":null},"institutions":[{"id":"https://openalex.org/I142476485","display_name":"\u00c9cole Polytechnique","ror":"https://ror.org/05hy3tk52","country_code":"FR","type":"education","lineage":["https://openalex.org/I142476485","https://openalex.org/I4210145102"]}],"countries":["FR"],"is_corresponding":true,"raw_author_name":"Natascha Hey","raw_affiliation_strings":["Chair of Econophysics and Complex Systems, \u00c9cole Polytechnique, 91120 Palaiseau, France"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Chair of Econophysics and Complex Systems, \u00c9cole Polytechnique, 91120 Palaiseau, France","institution_ids":["https://openalex.org/I142476485"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5025728489","display_name":"Iacopo Mastromatteo","orcid":null},"institutions":[{"id":"https://openalex.org/I44713367","display_name":"Capital Fund Management (France)","ror":"https://ror.org/01kpwv903","country_code":"FR","type":"company","lineage":["https://openalex.org/I44713367"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Iacopo Mastromatteo","raw_affiliation_strings":["Capital Fund Management, 75007 Paris, France"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Capital Fund Management, 75007 Paris, France","institution_ids":["https://openalex.org/I44713367"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5018432446","display_name":"Johannes Muhle\u2010Karbe","orcid":"https://orcid.org/0000-0002-9165-2244"},"institutions":[{"id":"https://openalex.org/I47508984","display_name":"Imperial College London","ror":"https://ror.org/041kmwe10","country_code":"GB","type":"education","lineage":["https://openalex.org/I47508984"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Johannes Muhle-Karbe","raw_affiliation_strings":["Department of Mathematics, Imperial College London, London SW7 2AZ, United Kingdom"],"raw_orcid":"https://orcid.org/0000-0002-9165-2244","affiliations":[{"raw_affiliation_string":"Department of Mathematics, Imperial College London, London SW7 2AZ, United Kingdom","institution_ids":["https://openalex.org/I47508984"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5075615241","display_name":"Kevin R. Webster","orcid":"https://orcid.org/0000-0002-6776-9055"},"institutions":[{"id":"https://openalex.org/I47508984","display_name":"Imperial College London","ror":"https://ror.org/041kmwe10","country_code":"GB","type":"education","lineage":["https://openalex.org/I47508984"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Kevin Webster","raw_affiliation_strings":["Department of Mathematics, Imperial College London, London SW7 2AZ, United Kingdom"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics, Imperial College London, London SW7 2AZ, United Kingdom","institution_ids":["https://openalex.org/I47508984"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5092081573"],"corresponding_institution_ids":["https://openalex.org/I142476485"],"apc_list":null,"apc_paid":null,"fwci":3.532,"has_fulltext":false,"cited_by_count":2,"citation_normalized_percentile":{"value":0.90645854,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":91,"max":98},"biblio":{"volume":"73","issue":"3","first_page":"1230","last_page":"1247"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9987999796867371,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9987999796867371,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10632","display_name":"Housing Market and Economics","score":0.9840999841690063,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10081","display_name":"Auditing, Earnings Management, Governance","score":0.982200026512146,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.4296833872795105},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.4241466522216797},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.39382457733154297},{"id":"https://openalex.org/keywords/microeconomics","display_name":"Microeconomics","score":0.3245447278022766}],"concepts":[{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4296833872795105},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4241466522216797},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.39382457733154297},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.3245447278022766}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1287/opre.2023.0620","is_oa":true,"landing_page_url":"https://doi.org/10.1287/opre.2023.0620","pdf_url":"https://pubsonline.informs.org/doi/pdf/10.1287/opre.2023.0620","source":{"id":"https://openalex.org/S125775545","display_name":"Operations Research","issn_l":"0030-364X","issn":["0030-364X","1526-5463"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310315699","host_organization_name":"Institute for Operations Research and the Management Sciences","host_organization_lineage":["https://openalex.org/P4310315699"],"host_organization_lineage_names":["Institute for Operations Research and the Management Sciences"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Operations Research","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:inm:oropre:v:73:y:2025:i:3:p:1230-1247","is_oa":false,"landing_page_url":"http://doi.org/10.1287/opre.2023.0620","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":{"id":"doi:10.1287/opre.2023.0620","is_oa":true,"landing_page_url":"https://doi.org/10.1287/opre.2023.0620","pdf_url":"https://pubsonline.informs.org/doi/pdf/10.1287/opre.2023.0620","source":{"id":"https://openalex.org/S125775545","display_name":"Operations Research","issn_l":"0030-364X","issn":["0030-364X","1526-5463"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310315699","host_organization_name":"Institute for Operations Research and the Management Sciences","host_organization_lineage":["https://openalex.org/P4310315699"],"host_organization_lineage_names":["Institute for Operations Research and the Management Sciences"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Operations Research","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":false},"content_urls":{"pdf":"https://content.openalex.org/works/W4408694833.pdf"},"referenced_works_count":38,"referenced_works":["https://openalex.org/W1929167035","https://openalex.org/W1936783080","https://openalex.org/W2040582618","https://openalex.org/W2078237894","https://openalex.org/W2103368690","https://openalex.org/W2108032253","https://openalex.org/W2122505598","https://openalex.org/W2141552954","https://openalex.org/W2155187653","https://openalex.org/W2171217792","https://openalex.org/W2471741185","https://openalex.org/W2884980930","https://openalex.org/W2900768948","https://openalex.org/W2949120670","https://openalex.org/W2950790448","https://openalex.org/W2966256415","https://openalex.org/W3023274588","https://openalex.org/W3121394145","https://openalex.org/W3121398783","https://openalex.org/W3122067138","https://openalex.org/W3122172324","https://openalex.org/W3122336589","https://openalex.org/W3122893129","https://openalex.org/W3122895822","https://openalex.org/W3123718809","https://openalex.org/W3124343334","https://openalex.org/W3124646725","https://openalex.org/W3125123194","https://openalex.org/W3125487688","https://openalex.org/W3126039549","https://openalex.org/W3199514388","https://openalex.org/W3213925164","https://openalex.org/W4205385386","https://openalex.org/W4245903958","https://openalex.org/W4362490349","https://openalex.org/W4385068299","https://openalex.org/W4385952032","https://openalex.org/W4389086968"],"related_works":["https://openalex.org/W2899084033","https://openalex.org/W2748952813","https://openalex.org/W4391375266","https://openalex.org/W2390279801","https://openalex.org/W4391913857","https://openalex.org/W2358668433","https://openalex.org/W4396701345","https://openalex.org/W2376932109","https://openalex.org/W2001405890","https://openalex.org/W4396696052"],"abstract_inverted_index":{"Statistical":[0],"Arbitrage":[1],"with":[2],"Price":[3],"Impact":[4],"A":[5],"key":[6],"challenge":[7],"to":[8,17,84],"turn":[9],"price":[10,42,46,79],"forecasts":[11,43],"into":[12],"profitable":[13],"trading":[14],"strategies":[15],"is":[16],"mitigate":[18],"the":[19,52,78],"adverse":[20],"impact":[21,47,61,80],"of":[22,60,66],"large":[23],"trades.":[24],"This":[25],"paper":[26],"shows":[27],"that":[28,49],"such":[29],"statistical":[30],"arbitrage":[31],"problems":[32],"can":[33],"be":[34],"solved":[35],"in":[36,54,76],"closed":[37],"form":[38],"for":[39,45,51],"general":[40],"nonparametric":[41],"and":[44,57],"models":[48,81],"account":[50],"nonlinearity":[53],"order":[55],"sizes":[56],"gradual":[58],"decay":[59],"observed":[62],"empirically.":[63],"The":[64],"implications":[65],"these":[67],"results":[68],"are":[69,82],"illustrated":[70],"by":[71],"an":[72],"empirical":[73],"case":[74],"study,":[75],"which":[77],"calibrated":[83],"proprietary":[85],"metaorder":[86],"data.":[87]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":1}],"updated_date":"2026-05-21T06:26:12.895304","created_date":"2025-10-10T00:00:00"}