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.
Generating realistic metaorders from public data.arXiv preprints, page 2503.18199, 2025
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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.