Crossover from linear to square-Root market impact

13 Nov 2018Frédéric BucciMichael BenzaquenFabrizio LilloJean-Philippe Bouchaud

Using a large database of 8 million institutional trades executed in the U.S. equity market, we establish a clear crossover between a linear market impact regime and a square-root regime as a function of the volume of the order. Our empirical results are remarkably well explained by a recently proposed dynamical theory of liquidity that makes specific predictions about the scaling function describing this crossover... (read more)

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