The market impact of a strategy is the change its own orders and trades cause in the prices it later trades at. In a replay it is a counterfactual impact: the recorded market did not contain the strategy’s orders, so what it would have done with them can only be modelled.
Quantitative Finance · Glosarium
Apa itu Market impact, counterfactual impact?
Dikenal juga sebagai: market impact · counterfactual impact