Order Splitting and Liquidity Replenishment Are Jointly Necessary for the Square-Root Law of Market Impact: A Counterfactual Dissection

By Yang Zhou, Jianwen Chen, Ruipeng Wei

Published 2026-07-05

Everscope rating

1962.3

Relevance to quantitative trading

8 / 10

Implementation complexity

6 / 10

Reproducibility

3 / 5

About this paper

Methodology: Agent-Based Model with Counterfactual Ablation. Problem types: Causal Inference, Algorithmic Execution, Market Making, Density Estimation, Optimization.

arXiv:2607.04280 · Paper rankings

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