Before revision: This note complements the inspiring work on dimensional analysis and market microstructure by Kyle and Obizhaeva \mbox{%DIFAUXCMD kyle2016dimensional  shows by a similar argument as usually applied in physics the following remarkable fact.
After revision: This note complements the inspiring work on dimensional analysis and market microstructure by Kyle and Obizhaeva \mbox{%DIFAUXCMD kyle2016dimensional . Following closely these authors, our main result shows by a similar argument as usually applied in physics the following remarkable fact.