{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/crossover-from-linear-to-square-root-market","title":"Crossover from linear to square-Root market impact","arxiv_id":"1811.05230","date":"2018-11-13","proceeding":null,"authors":["Frédéric Bucci","Michael Benzaquen","Fabrizio Lillo","Jean-Philippe Bouchaud"],"abstract":"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. Allowing at least two characteristic time scales for the liquidity (`fast' and `slow') enables one to reach quantitative agreement with the data.","url_abs":"https://arxiv.org/abs/1811.05230v1","url_pdf":"https://arxiv.org/pdf/1811.05230v1.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"links_only","authors_date_abstract":"arXiv metadata, CC0 1.0 (https://info.arxiv.org/help/license), from the Kaggle arXiv metadata snapshot of 2026-09-12"},"code_links":[{"paper_slug":"crossover-from-linear-to-square-root-market","repo_url":"https://github.com/Sean329/AI-Algorithms-in-Quant-Trading","is_official":0,"mentioned_in_paper":0,"mentioned_in_github":1,"framework":"none","reach":null},{"paper_slug":"crossover-from-linear-to-square-root-market","repo_url":"https://github.com/ajmal017/Quant-Trading-Strategies-Alpha","is_official":0,"mentioned_in_paper":0,"mentioned_in_github":1,"framework":"none","reach":null}],"tasks":[],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}