Empirical Confirmation of the Square-Root Law of Market Impact in a U.S. Large-Cap Equity

We test the square-root law (SRL) of market impact on a single U.S. large-capitalisation equity, Apple Inc. (AAPL), using the full Nasdaq TotalView-ITCH market-by-order feed over 178 trading days (2 December 2024 – 19 August 2025; ~0.5 billion events). Without broker-tagged parent orders, we recons…

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