AgentSkillsCN

market-impact-timing-risk-modeling

适用于交易成本分解、执行期限设计以及紧迫性优化的市场影响与时机风险工作流。当任务涉及分离影响与时机风险，并在成本与风险之间做出权衡抉择时，可选用此类工作流。

SKILL.md
--- frontmatter
name: market-impact-timing-risk-modeling
description: "Market impact and timing risk workflows for trading cost decomposition, execution horizon design, and urgency optimization. use when tasks involve separating impact versus timing risk and selecting cost-risk tradeoffs."

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.
  • •enforce recalibration cadence for impact parameters.
  • •enforce fallback urgency profile on model instability.

outputs

  • •run python scripts/market_impact_timing_risk_modeling_diagnostics.py input.csv --output diagnostics.json and keep the json artifact.
  • •write an implementation memo using references/market-impact-timing-risk-modeling-playbook.md with assumptions, tests, limits, and rollout plan.

resources

  • •use scripts/market_impact_timing_risk_modeling_diagnostics.py for deterministic diagnostics.
  • •use references/market-impact-timing-risk-modeling-playbook.md for the domain checklist and delivery structure.