  The market impact (MI) of Volume Weighted Average Price (VWAP) orders is a
convex function of a trading rate, but most empirical estimates of transaction
cost are concave functions. How is this possible? We show that isochronic
(constant trading time) MI is slightly convex, and isochoric (constant trading
volume) MI is concave. We suggest a model that fits all trading regimes and
guarantees no-dynamic-arbitrage.
