Trend - transaction costs
2007 LIQUIDITY AND RISK MANAGEMENT Nicolae B. Garleanu, Lasse H. Pedersen
https://www.investmentpod.com/assets/uploads/whitepapers/AQR-A-Century-of-Trend-Following-Investing.pdf
appendix B
price impact
- Optimal Turnover, Liquidity, and Autocorrelation by Gordon Ritter
intuitively, why Turnover is inversely (square root) proportional to linear price impact?
Higher price sensitivity implies lower turnover?? perhaps, because it is a steady-state solution....