financialkit.market_microstructure
==================================


.. include:: /_generated/nav/market_microstructure.rst

Demsetz's quoted, effective and realized spreads and the price impact;
the Roll and Corwin-Schultz spread estimators; Lee-Ready trade
classification with the tick test, the quote rule and lagged quotes;
Garman's Poisson dealer, Ho-Stoll inventory quotes and
Avellaneda-Stoikov market making, simulated around a Brownian mid price
from :func:`financialkit.integrators.brownian_increments`; Kyle's
insider and the Glosten-Milgrom dealer; Hasbrouck's trade-impact VAR;
PIN by maximum likelihood and VPIN by volume buckets; the square-root
impact law, Bertsimas-Lo dynamic programming and Almgren-Chriss
efficient execution; Amihud illiquidity and Kyle's lambda by
regression.

.. automodule:: financialkit.market_microstructure
   :members:
   :undoc-members: