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pypi.org : priceprop
Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.
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purl: pkg:pypi/priceprop
Keywords: propagator, price impact, intra day, order flow, price return, Transient Impact Model, TIM, History Dependent Impact Model, HDIM, high-frequency-trading, kernel-model, linear-models, modeling, pandas, propagators, python, scientific, scientific-publications, time-series, time-series-econometrics
License: MIT
Latest release: over 6 years ago
First release: over 6 years ago
Dependent repositories: 1
Downloads: 21 last month
Stars: 23 on GitHub
Forks: 9 on GitHub
See more repository details: repos.ecosyste.ms
Last synced: 9 days ago