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Verify and Characterize Post-Execution Impact Decay Using Proxy Metaorders

Investigate, within the numerical model, whether proxy metaorders reconstructed from public trade data reproduce the post-execution impact decay observed for real metaorders, and characterize the dependence of decay on metaorder volume and duration.

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Background

The paper demonstrates that proxy metaorders can reproduce the square-root impact law from anonymized data. Prior work suggested that proxies might also capture post-execution decay, but this has not been fully analyzed within the current simulation framework.

The authors identify the need to validate and dissect decay behavior using proxies, focusing on how metaorder characteristics such as total volume and duration influence decay dynamics.

References

Of course, several open questions remain. We propose here several directions for future research: Investigating post-execution impact decay using proxy metaorders within our numerical model. It was suggested in Ref. that proxy metaorders built on market data can also reproduce the decay of real metaorders. Our framework is particularly well-suited to conduct an in-depth analysis of this phenomenon, in particular the role of the volume and duration of metaorders.

— 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