Uses of Record Class
com.quantfinlib.microstructure.OrnsteinUhlenbeck.Params

Packages that use OrnsteinUhlenbeck.Params

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 OrnsteinUhlenbeck.Params in com.quantfinlib.microstructure

Methods in com.quantfinlib.microstructure that return OrnsteinUhlenbeck.Params

Modifier and Type	Method	Description
static OrnsteinUhlenbeck.Params	OrnsteinUhlenbeck.fit(double[] series, double dt)	Fits OU to a series sampled every dt time units (e.g.