An Empirical Model of Market Impact in Cryptocurrency Trading:

Introduction

An empirical model of market impact in cryptocurrency trading is presented, decomposing execution costs into physical impact and time-risk components. The model is estimated using Talos’s proprietary high-frequency trade and quote data for the top 60 spot and perpetual contracts (June 2024–July 2025), encompassing over 50,000 parent (meta) orders and 50 million child orders. The dataset uniquely captures the complete lifecycle of long-duration orders, enabling estimation of impact over the full execution horizon, a feature rarely available in public datasets and critical for modeling time-dependent price effects. The framework provides actionable insights for optimal execution strategy selection in digital asset markets.