Square Root Market Impact - Quant Trader Interview Question
Difficulty: Medium
Category: Market Microstructure
Practice quant interview questions from top firms including Jane Street, Citadel, Two Sigma, DE Shaw, and other leading quantitative finance companies.
Topics: market-impact, trading-strategy, order-execution, market-microstructure
Problem Description
The empirical "square root law" of market impact states that price impact scales as $ \Delta P \propto \sigma \sqrt{Q/V} $. What do $Q$ and $V$ represent in this context?
Practice this medium trader interview question on MyntBit - the all-in-one quant learning platform with 200+ quant interview questions for Jane Street, Citadel, Two Sigma, and other top quantitative finance firms.