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q-fin.CP2026
Square-Root Price Impact Is Necessary for Endogenous Manipulation Cycles in Learning-Agent Markets
Yang Zhou, Jianwen Chen, Ruipeng Wei
We study a minimal agent-based market in which a single evolutionary-optimized institutional agent interacts with 20{,}000 herding retail traders. The agent spontaneously discovers…
q-fin.CP2026
Order Splitting and Liquidity Replenishment Are Jointly Necessary for the Square-Root Law of Market Impact:
Yang Zhou, Jianwen Chen, Ruipeng Wei
Three quantitative predictions have been advanced for the square-root law (SRL) of market impact, with : GGPS (), FGLW (), and LO…