Uses of Class
com.quantfinlib.microstructure.MarketImpactModel

Packages that use MarketImpactModel

Package

Description

com.quantfinlib.microstructure

Market microstructure analytics: MarketImpactModel (square-root law + Almgren-Chriss temporary/permanent decomposition), AlmgrenChriss (closed-form optimal execution trajectories on the cost/risk frontier), QueueModel (fill probability from queue position and latency advantage), TransactionCostAnalyzer (implementation shortfall, slippage vs VWAP, effective spread per fill), TickSizeSchedule (banded price grids) and Auction (call uncross).

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 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.
MarketImpactModel	MarketImpactModel.withCoefficients(double y, double etaBps, double gamma)	Returns a copy with calibrated coefficients (square-root Y, temporary eta bps, permanent gamma).