Uses of Class
com.quantfinlib.microstructure.SpreadForecaster

Packages that use SpreadForecaster

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 SpreadForecaster in com.quantfinlib.microstructure

Methods in com.quantfinlib.microstructure that return SpreadForecaster

Modifier and Type	Method	Description
SpreadForecaster	SpreadForecaster.seedBaseline(double[] spreadPerBucket)	Seeds the time-of-day baseline from a known shape — optional.