Received: 7 January 2020  Revised: 28 April 2021  Accepted: 28 April 2021
DOI: 10.1111/mafi.12314

ORIGINAL ARTICLE


A simple microstructural explanation of the
concavity of price impact
Sergey Nadtochiy
Department of Applied Mathematics,
Illinois Institute of Technology, Chicago,      Abstract
Illinois, USA                    This article provides a simple explanation of the asymp-
Correspondence
                           totic concavity of the price impact of a meta-order via the
Sergey Nadt ...