This article provides a simple explanation of the asymptotic concavity of the price impact of a meta-order via the microstructural properties of the market. This explanation is made more precise by a model in which the local relationship between the order flow and the fundamental price (i.e., the local price impact) is linear, with a constant slope, which makes the model dynamically consistent. Nevertheless, the expected impact on midprice from a large sequence of co-directional trades is nonlinear and asymptotically concave. The main practical conclusion of the proposed explanation is that, throughout a meta-order, the volumes at the best bid and ask prices change (on average) in favor of the executor. This conclusion, in turn, relies on two more concrete predictions, one of which can be tested, at least for large-tick stocks, using publicly available market data.

中文翻译：

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价格影响凹度的简单微观结构解释

本文通过市场的微观结构特性对元订单的价格影响的渐近凹性提供了一个简单的解释。这种解释通过模型更加精确，其中订单流和基本价格之间的局部关系（即局部价格影响）是线性的，具有恒定的斜率，这使得模型动态一致。然而，大量同向交易对中间价的预期影响是非线性的并且是渐近凹的。所提出的解释的主要实际结论是，在整个元订单中，最佳买价和卖价的交易量（平均）变化有利于执行者。反过来，这个结论依赖于两个更具体的预测，其中一个可以测试，至少对于大报价股票，