Uses of Class
com.quantfinlib.microstructure.MarketImpactModel

Packages that use MarketImpactModel

Package	Description
com.quantfinlib.microstructure	Market microstructure analytics: impact, liquidity, order-flow signals and intraday curves.

Uses of MarketImpactModel in com.quantfinlib.microstructure

Methods in com.quantfinlib.microstructure that return MarketImpactModel

Modifier and Type	Method	Description
static MarketImpactModel	MarketImpactModel.estimate(BarSeries series, int index, int window)	Estimates a model for a trade decided at bar index from the window bars strictly before it: ADV is the mean volume and daily volatility the population standard deviation of close-to-close returns over bars [index - window, index - 1].
MarketImpactModel	MarketImpactModel.withCoefficients(double y, double etaBps, double gamma)	Returns a copy with calibrated coefficients (square-root Y, temporary eta bps, permanent gamma).