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Model Impact with Heterogeneous Trader Categories and Category-Specific Metaorders

Construct and analyze a version of the generalized propagator simulator that includes heterogeneous trader categories (e.g., high-frequency traders, low-frequency traders, and market makers) executing category-specific metaorders, and quantify how category differences affect price impact and market dynamics.

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Background

The present model treats metaorders in a largely homogeneous fashion, while real markets contain diverse participants with distinct behaviors and execution profiles.

The authors articulate the need to introduce trader heterogeneity and design category-specific metaorders (e.g., faster and smaller for market makers) to investigate differential impacts and better reflect realistic market composition.

References

Of course, several open questions remain. We propose here several directions for future research: Introducing heterogeneous trader categories (e.g., high- and low-frequency traders, market makers) and designing category-specific metaorders. For instance, market makers are likely to submit faster and smaller metaorders than low-frequency traders. This approach could shed light on the impact of different market participants.

— The Subtle Interplay between Square-root Impact, Order Imbalance & Volatility II: An Artificial Market Generator (2509.05065 - Maitrier et al., 5 Sep 2025) in Conclusion