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Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.

Project Description

The models and methods are explained in:

Patzelt, F. and Bouchaud, J-P.: Nonlinear price impact from linear models Journal of Statistical Mechanics (2017, in print) Preprint at arXiv:1706.04163

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This version
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1.0.2

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1.0.1

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1.0.0

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1.0.0rc1

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Filename, size & hash SHA256 hash help File type Python version Upload date
priceprop-1.0.2.tar.gz (11.1 kB) Copy SHA256 hash SHA256 Source None Oct 1, 2017

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