Market microstructure
Papers
On Bonart's interpretation of the Square-Root Impact Law
Bouchaud et al.
The diffusivity argument for square-root impact holds only if markets whiten each trader's metaorder flow; otherwise impact grows faster.
In the Daily Brief of 11 October 2026
The square-root law states that the price impact of a large order grows with the square root of its size. A recent argument by Bonart derives it from the diffusivity of prices.
Bouchaud and co-authors show that this derivation only works if markets whiten each participant's stream of metaorders. Without that condition, isolated metaorders show impact that grows faster than the square root.
The origin of one of the most robust empirical laws of market microstructure therefore remains unsettled.