financialkit.market_microstructure#
Quoted, effective and realized spreads, the Roll and Corwin-Schultz estimators, Lee-Ready classification, Garman, Ho-Stoll and Avellaneda-Stoikov dealers, Kyle and Glosten-Milgrom, Hasbrouck’s VAR, PIN and VPIN, square-root impact, Bertsimas-Lo and Almgren-Chriss execution, and Amihud illiquidity.
History
The foundational breakthroughs behind this subpackage, linked to the implementation.
Examples
Runnable tutorials and the full example gallery.
API reference
Every public class and function.