Impact and Counterfactuals
Once a hypothetical order is large or visible enough to affect other behavior, replaying an unchanged historical future becomes internally inconsistent.
Central questions
- At what size can a strategy plausibly be treated as a price taker?
- Which historical events depend on the market state the simulation changed?
- How is uncertainty in impact represented?
Planned model
Compare no-impact replay, mechanical book consumption, parametric response, and adversarial sensitivity bounds for one execution schedule.