English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Zendy Plus

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Zendy Tools

Zendy Open

Market impact is the link between the volume of a (large) order and the pricemove during and after the execution of this order. We show that underno-arbitrage assumption, the market impact function can only be of power-lawtype. Furthermore, we prove that this implies that the macroscopic price isdiffusive with rough volatility, with a one-to-one correspondence between theexponent of the impact function and the Hurst parameter of the volatility.Hence we simply explain the universal rough behavior of the volatility as aconsequence of the no-arbitrage property. From a mathematical viewpoint, ourstudy relies in particular on new results about hyper-rough stochastic Volterraequations.

No-arbitrage implies power-law market impact and rough volatility