Market Impact
Impact describes price changes associated with trading, but observed correlation mixes mechanical consumption, information, selection, and broader market movement.
Central questions
- Is impact temporary, permanent, or measured over a specified horizon?
- What counterfactual price would have occurred without the trade?
- How do size, participation rate, liquidity, and urgency interact?
Planned model
Execute schedules against replenishing depth while separating immediate book walking, subsequent recovery, and an independently moving latent price.