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.

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   .. grid-item-card:: History
      :link: /history/market_microstructure_breakthroughs
      :link-type: doc

      The foundational breakthroughs behind this subpackage, linked to the implementation.

   .. grid-item-card:: Examples
      :link: /api/gallery/market_microstructure/index
      :link-type: doc

      Runnable tutorials and the full example gallery.

   .. grid-item-card:: API reference
      :link: /api/market_microstructure
      :link-type: doc

      Every public class and function.