It's a question we can answer with data, sooo: First, for those who don't know the square-root law: when someone splits a big order into a run of trades (can be anyone, but usually funds, indexes etc), the price moves with the square root of the run's size. Size is measured as a percentage of the day's volume, the move as a percentage of the day's price change, so let's say a stock trades $100M a day within a 3% range. Buy $1M (so that's 1% of the volume) and the price moves 0.25% (on average obv). Buy $4M and it moves 0.5%, not 1%. Just to develop your intuition, your first buys are news, and thus the market prices the subsequent ones (remember @chameleon_jeff's tweet about how broadcasting your big trades will give you a better price, well that's the same thing we're describing here, the market expects the other buys, and thus reacts less and less to them, it's priced in). The claim made here is that HL breaks it at 0.19, with small trades moving the price WAY more than they should. So why is that? Is there an explanation? Well it's pretty simple: these xyz perps don't make their own price during US hours. NVDA's price is made on Nasdaq and HL follows. The square-root law describes how a market absorbs orders where the price is formed. A market that follows another one has little reason to obey it. And by the way, there is a kind of "sequence" that naturally weakens this number: latency arbitrage between NYC and Tokyo, by definition the arb buys when he has positive markouts, so if he buys, price will go higher in the next seconds, and vice versa, not because he made the market go up, but because he catched a move faster. But coming back to previously, that gives two clean tests where HL does make the price: • weekends, when Nasdaq is closed and the xyz oracle prices off the HL book (we showed in February that HL even leads weekend price discovery on crude) • HYPE, where HL is the main venue We pulled every HL fill with its address and built the runs the same way as the paper: same address, same side, at least 60s, price change from first to last fill, scaled by that day's volume and range. So first, the same five names, done the paper's way: exponent 0.44 [0.31, 0.54]. Not 0.19. And no floor: the smallest runs have zero or negative impact, with or without the 60s cut, on fills or on book mids. (First graph) Now the interesting part. Weekends vs US market hours on 22 xyz stocks: above a few thousand dollars the curves overlap. 0.43 vs 0.33, but reasonable fit choices move both anywhere between 0.3 and 0.5, so that gap doesn't mean much. The real difference is in small runs. During market hours they buy after a drop (or sell after a rise) and the move keeps going while they trade. On weekends small runs move nothing, which is what Tokyo would predict. So our guess was half right: the satellite effect shows up, but in who trades small, not in the slope. (Second graph) And HYPE: the perp ($514M a day) comes out at 0.42 [0.35, 0.48] with a prefactor of 0.83, vs 0.84 in Tokyo. Where HL is the main market, it looks like Tokyo. Spot trades ~7x less and its curve flattens above ~$60k, which is what you'd expect if spot is just arbitraged against the perp. (Third graph) tldr: measured the Tokyo way, HL isn't flat at all. The xyz names and the HYPE perp land between 0.3 and 0.5, and the HYPE perp sits right on Tokyo's level. The flat curve looks like a method question, not a market one.