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
• to meet Liquidity Risk regulatory obligations

 

The EQ Impact Model is used by stockbrokers:

• to assess market impact of client orders
• to highlight difficult orders within 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.