Empirical Confirmation of the Square-Root Law of Market Impact in a U.S. Large-Cap Equity: A Reconstructed-Metaorder Study of AAPL Order Flow

By Aniket Vasaikar

Published 2026-06-01

Everscope rating

1870.1

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

3 / 5

About this paper

Methodology: Reconstructed-Metaorder Square-Root Impact Calibration. Problem types: Regression, Density Estimation, Algorithmic Execution, Risk Management.

arXiv:2606.24019 · Paper rankings

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