EQ Impact Model

EQ Impact Model used for trade planning and benchmarking

The EQ Impact Model has many features including:

  • being a third-generation market impact model
  • having been tested across markets across time
  • reflecting that buying impact is often different from selling impact
  • specifying the expected impact-free volume
  • being timely, relevant and useable

 

The EQ Impact Model is used by fund managers:

  • to assess market impact of possible orders
  • as an input into their portfolio construction methodology
  • to plan today’s orders
  • to gain insight into likely transaction costs
  • to modify stock return expectations
  • to agree an expected execution price with their dealers
  • to benchmark the execution skill of their dealers

 

The EQ Impact Model is used by stockbrokers:

  • to assess market impact of client orders
  • to highlight difficult orders in a trade list
  • to pay extra attention to high impact orders
  • to determine which orders can be executed by algorithms
  • to provide pre-trade feedback to their clients
  • to benchmark their execution performance

 

Contact us to find out more about the EQ Impact Model.

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