Class MarketImpactModel

java.lang.Object

com.quantfinlib.microstructure.MarketImpactModel

public final class MarketImpactModel
extends Object

Temporary / permanent market impact models for large trades, parameterized by average daily volume (ADV) and daily volatility:

• Square-root law (empirical standard): impact = Y * sigma_daily * sqrt(Q / ADV).
• Almgren-Chriss style decomposition: linear temporary impact in participation rate and linear permanent impact in size, with the expected cost of an execution schedule E[cost] = permanent/2 + temporary.

All results in basis points of the arrival price. Coefficients default to commonly cited magnitudes; calibrate per market with withCoefficients(double, double, double).

Constructor Summary

Constructors

Constructor	Description
MarketImpactModel(double adv, double dailyVolatility)

Method Summary

Modifier and Type	Method	Description
static MarketImpactModel	estimate(BarSeries series, int index, int window)	Estimates a model from a series' trailing window: ADV as the mean volume, daily vol as the stdev of close-to-close returns — the one canonical bar-data → impact-model bridge, shared by the alpha and portfolio backtesters so their impact numbers can never diverge.
double	expectedCostBps(double quantity, double participationRate)	Expected implementation cost of executing quantity at the given participation rate: half the permanent impact (average price concession over the schedule) plus the full temporary impact.
double	permanentImpactBps(double quantity)	Permanent (information) impact, linear in size relative to ADV.
double	squareRootImpactBps(double quantity)	Square-root-law total impact for an order of quantity.
double	temporaryImpactBps(double participationRate)	Temporary (execution-rate) impact at the given participation rate in [0, 1].
MarketImpactModel	withCoefficients(double y, double etaBps, double gamma)	Returns a copy with calibrated coefficients (square-root Y, temporary eta bps, permanent gamma).

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

MarketImpactModel

public MarketImpactModel(double adv,
 double dailyVolatility)

Method Details

withCoefficients

public MarketImpactModel withCoefficients(double y,
 double etaBps,
 double gamma)

Returns a copy with calibrated coefficients (square-root Y, temporary eta bps, permanent gamma).

estimate

public static MarketImpactModel estimate(BarSeries series,
 int index,
 int window)

Estimates a model from a series' trailing window: ADV as the mean volume, daily vol as the stdev of close-to-close returns — the one canonical bar-data → impact-model bridge, shared by the alpha and portfolio backtesters so their impact numbers can never diverge. Returns null when the window has no volume (impact needs ADV; absent volume is a data gap, not free liquidity — callers charge their flat costs and skip impact).

squareRootImpactBps

public double squareRootImpactBps(double quantity)

Square-root-law total impact for an order of quantity.

temporaryImpactBps

public double temporaryImpactBps(double participationRate)

Temporary (execution-rate) impact at the given participation rate in [0, 1].

permanentImpactBps

public double permanentImpactBps(double quantity)

Permanent (information) impact, linear in size relative to ADV.

expectedCostBps

public double expectedCostBps(double quantity,
 double participationRate)

Expected implementation cost of executing quantity at the given participation rate: half the permanent impact (average price concession over the schedule) plus the full temporary impact.