  We define what "Price Impact" means, and how it is measured and modelled in
the recent literature. Although this notion seems to convey the idea of a
forceful and intuitive mechanism, we discuss why things might not be that
simple. Empirical studies show that while the correlation between signed order
flow and price changes is strong, the impact of trades on prices is neither
linear in volume nor permanent. Impact allows private information to be
reflected in prices, but by the same token, random fluctuations in order flow
must also contribute to the volatility of markets.
