On Bonart’s interpretation of the Square-Root Impact Law

Battle Count: 50

Highly relevant for practitioners involved in algorithmic execution and market impact modeling. It challenges a recent theoretical explanation for the SRIL and reinforces the mechanical/volume-based interpretation, which has direct implications for how execution algorithms should be designed and how impact costs are estimated.

The theoretical derivations are complex, involving stochastic calculus and signal processing concepts. Implementing the counterexample models (LMF, multi-agent propagator) requires significant effort in simulation and numerical analysis.

The paper is primarily theoretical and analytical. While it references empirical data (CFM, Tokyo Stock Exchange), the core arguments are mathematical derivations and logical critiques. Reproducing the specific counterexamples requires implementing the LMF model and the proposed multi-agent propagator.