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

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Authors: Paul Jusselin, Mathieu Rosenbaum

Journal title: Mathematical Finance

Journal number: 30/4

Journal publisher: Blackwell Publishing Inc.

Published year: 2020

Published pages: 1309-1336

DOI identifier: 10.1111/mafi.12254

ISSN: 0960-1627