Market Impact Timing Risk Modeling

objective

Model market impact and timing risk to optimize execution horizon and urgency settings.

workflow

1. define execution horizon candidates and risk aversion parameters.
2. estimate temporary and permanent impact components from trade data.
3. estimate timing-risk distribution across horizon alternatives.
4. compute efficient cost-risk frontier for strategy selection.
5. deploy chosen horizon only after out-of-sample stability checks.

required diagnostics

• impact coefficient stability by venue and volatility regime.
• timing-risk tail behavior across horizon choices.
• cost-risk frontier drift over rolling windows.
• forecast error between expected and realized implementation shortfall.
• capacity sensitivity under order-size scaling.

risk controls

• enforce horizon limits for high-volatility sessions.