A0168
Title: From no-arbitrage to rough volatility via market impact
Authors: Mathieu Rosenbaum - Ecole Polytechnique (France) [presenting]
Gregoire Szymanski - Ecole Polytechnique (France)
Abstract: Rough volatility is demonstrated to be a consequence of no-statistical arbitrage constraints faced by market participants. To do so, the shape of market impact curves is connected to the behaviour of the volatility. As a by-product, the celebrated square-root law of market impact and the role of participation rate in this stylized fact of financial markets is understood.
