Market Impact Quant Interview Guide
Market impact quant interview guide covering temporary impact, permanent impact, trade size, liquidity, models, examples, and capacity.
Candidates discussing how trades move prices and affect strategy capacity.
Market impact is price movement caused by trading
A trade can move prices by consuming liquidity, revealing information, changing inventory pressure, or triggering other participants.
Temporary and permanent impact differ
Temporary impact may fade after liquidity replenishes, while permanent impact can reflect information or lasting supply-demand imbalance.
Concrete example
A large buy order may lift offers and increase the average execution price; some of that move may reverse after the order finishes.
Impact limits strategy capacity
A signal that works at small size may fail at larger size if turnover and market impact consume the expected edge after costs.
Common mistakes
Candidates often assume impact scales linearly. Real impact can depend on participation rate, volatility, liquidity, urgency, and market state.
Practice the pattern
Use the LeetQuidity curriculum and calibration to turn this topic into a focused practice plan.