RESEARCH · US
Square-root law of market impact confirmed in large-cap AAPL trading
Analysis of 0.5 billion AAPL order events (Dec 2024–Aug 2025) from Nasdaq TotalView-ITCH confirms the square-root law: price impact grows as the square root of order size. Validates execution algorithms tuned to this model.
WHY IT MATTERS
Execution desks rely on square-root models for slippage prediction; empirical confirmation on recent data ensures algo-trading cost estimates remain accurate amid market structure evolution.
Source: arXiv · 2026-06-24