Verification of Market-Specificity of Impact Relaxation Magnitude Using Metaorder Data

Ascertain, using metaorder-level data, whether the approximately 20% relaxation magnitude observed after execution in the MDQR-simulated market impact profile is specific to the Bund futures market, and quantify its market-specificity.

Background

The MDQR model incorporating trade imbalance features reproduces a market impact profile consistent with theoretical and empirical findings, including a concave execution phase and post-execution relaxation. The observed relaxation stabilizes at roughly a 20% reduction after completion of a TWAP metaorder.

The authors note that confirming whether this relaxation magnitude is specific to the Bund market would require access to metaorder (meta-trade) data, which they do not have, leaving the market-specificity of the magnitude unverified.