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The square root law is shown here: Market impact, why square root?

Let's say I want to execute 100 lots. But I have never executed before so I have no idea what n is historically. How would I determine what C is? Or is there a way to get a historical n?

The square root law is shown here: Market impact, why square root?

Let's say I want to execute 100 lots. But I have never executed before so I have no idea what n is historically. How would I determine what C is?

The square root law is shown here: Market impact, why square root?

Let's say I want to execute 100 lots. But I have never executed before so I have no idea what n is historically. How would I determine what C is? Or is there a way to get a historical n?

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confused
  • 717
  • 4
  • 16

Can someone explain to me the square root law of market impact?

The square root law is shown here: Market impact, why square root?

Let's say I want to execute 100 lots. But I have never executed before so I have no idea what n is historically. How would I determine what C is?