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Quantitative Finance · Glossário

O que é Peak impact and impact reversion?

Também chamado de: peak impact · impact reversion

Definition 11.3 Microstructure and Execution · Capítulo 11 — The Empirics of Price Impact

The peak impact of a metaorder is the price move in its direction from its start to its last fill. Impact reversion is the part of that move that disappears after the metaorder ends; what remains after a long time is its permanent impact.

Counterfactual impact of metaorders in the simulated market: each session with the metaorder less the same session without it, mean and standard error over six sessions; the shaded band is the execution. Data: mx_impact.counterfactual.
Figure 11.2. Counterfactual impact of metaorders in the simulated market: each session with the metaorder less the same session without it, mean and standard error over six sessions; the shaded band is the execution. Data: mx_impact.counterfactual.
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