price-impact

Algo Library for Order Flow Inference and TCA

Non-Markovian Zero Intelligence LOB model

Market microstructure analysis library for MQL5 (MT5). Tick/quote/book collectors, liquidity, order flow (CVD, VPIN), price impact (Kyle, Amihud, Hasbrouck, Almgren-Chriss), volatility (Parkinson, GK, YZ), trade classification, ACD duration, book resiliency, volume profile, information share.

Cross-asset price impact is set-identified, not point-identified: the confounding gap has rank at most K + rank(B). A diagonal truth still yields a dense cross-impact matrix, and the trades immune to the resulting cost error form a large but measure-zero subspace. Preregistered and reproducible.

Is market conductance a forecastable state variable? A free-data falsification study of the price impact operator in gold and nine other markets.

Computational framework for Mean-Field Game-based optimal execution with latent market dynamics, endogenous price impact, posterior filtering, and heterogeneous agent equilibrium interactions.

Reproduce marketprice.xyz block-level onchain price & depth data from your own local Fynd, any token pair, any chain.

Cost of liquidity and optimal execution on millisecond WRDS TAQ: NBBO reconstruction, spread decomposition, concave impact, and a queue-aware execution backtest across calm and stressed markets

End-to-end Python replication of 'The Value of Information: A Puzzle' (Kadan et. al, 2026). Estimates equilibrium dollar value of private information in US equity markets via discrete quadratic covariation of 1-min NYSE TAQ price changes & signed order flow. Implements CLNV trade signing, Amihud filtering, 2-way FE regressions, & SDF entropy bounds

C++20 limit order book engine + aggregate price impact research

Trade Sign Long Memory and the Square Root Law arXiv:2606.16269.

Round-trip cost and sellability for Arc (chain 5042) Uniswap v4 pools. Read-only: two chained quotes at one pinned block, no wallet, no signing.