Requiring realized and counterfactual returns to be diffusive produces an identity implying the square-root law of market impact in the information-neutral regime and linear impact under strong informational coupling.
Title resolution pending
2 Pith papers cite this work. Polarity classification is still indexing.
2
Pith papers citing it
fields
q-fin.TR 2years
2026 2verdicts
UNVERDICTED 2representative citing papers
Empirical test on AAPL using reconstructed metaorders from full Nasdaq ITCH feed finds the square-root impact law with prefactor c_raw=0.69 consistent with global observations and preferred over linear or log forms by model comparison.
citing papers explorer
-
Diffusive in plain sight: An inconspicuous law of market impact
Requiring realized and counterfactual returns to be diffusive produces an identity implying the square-root law of market impact in the information-neutral regime and linear impact under strong informational coupling.
-
Empirical Confirmation of the Square-Root Law of Market Impact in a U.S. Large-Cap Equity
Empirical test on AAPL using reconstructed metaorders from full Nasdaq ITCH feed finds the square-root impact law with prefactor c_raw=0.69 consistent with global observations and preferred over linear or log forms by model comparison.