{
  "abstract": "We develop a framework for calibrating passive market impact, defined as the price response to liquidity-providing limit orders, in contrast to the impact of liquidity-consuming market orders. We build on the model of Ouazzani Chahdi, Rosenbaum, and Szymanski (arxiv:2412.07461), which combines Hawkes-driven market-order flow with queue-reactive limit-order and cancellation dynamics. Within this model, we show that the price decomposes into a universal propagator term driven by signed order-flow imbalance and a state-dependent correction that captures the dependence of price sensitivity on volume at the best quotes. This decomposition links limit-order-book microstructure to standard propagator models and yields a regression on two observable signals: the propagator signal and the queue-weighted order-flow imbalance. We calibrate the model on high-frequency order-book data and find that the passive-impact term explains substantial variation in prices beyond the classical propagator, improving both model fit and the accuracy of predicted impact curves.",
  "abstract_shown": true,
  "affiliations": [],
  "article_type": null,
  "arxiv": "2610.38442",
  "author_total": 3,
  "authors": [
    {
      "name": "Yadh Hafsi"
    },
    {
      "name": "Fabrizio Lillo"
    },
    {
      "name": "Grégoire Szymanski"
    }
  ],
  "bibtex": "https://research.draconitic.com/paper/722hwcx2ydbax.bib",
  "cited_by": 0,
  "doi": "10.48550/arxiv.2610.38442",
  "fulltext_url": null,
  "id": "722hwcx2ydbax",
  "issns": [],
  "landing_url": "https://arxiv.org/abs/2610.38442",
  "language": null,
  "licence": "LicenseRef-arXiv-nonexclusive-1.0",
  "licence_label": "arXiv licence",
  "licence_source": "article",
  "licence_url": "http://arxiv.org/licenses/nonexclusive-distrib/1.0/",
  "metadata_licence": "CC0-1.0",
  "native_subjects": [
    [
      "arxiv",
      "math.PR"
    ],
    [
      "arxiv",
      "q-fin.MF"
    ],
    [
      "arxiv",
      "q-fin.ST"
    ],
    [
      "arxiv",
      "q-fin.TR"
    ]
  ],
  "openalex": null,
  "pdf_url": "https://arxiv.org/pdf/2610.38442",
  "pmcid": null,
  "pmid": null,
  "published": "2026-10-28",
  "publisher": null,
  "ris": "https://research.draconitic.com/paper/722hwcx2ydbax.ris",
  "sources": [
    {
      "first_seen": "2026-10-30T12:36:32Z",
      "native_id": "2610.38442",
      "source": "arxiv",
      "url": "https://arxiv.org/abs/2610.38442"
    }
  ],
  "subjects": [
    {
      "field": "mathematics",
      "origin": "arxiv:math.PR",
      "subfield": "probability"
    }
  ],
  "title": "Calibration of Passive Market Impact with a Queue-Sensitive Propagator Model",
  "title_text": "Calibration of Passive Market Impact with a Queue-Sensitive Propagator Model",
  "type": "preprint",
  "updated_at": "2026-11-01T12:20:50Z",
  "url": "https://research.draconitic.com/paper/722hwcx2ydbax",
  "venue": "arXiv",
  "versions": []
}