priceprop
Unverified Other strategy on Multi by felixpatzelt. BotFinder score 18 out of 100.
Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.
Source: github
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priceprop
PriceProp ========= Simulate and calibrate linear propagator models for price responses to an external order flow. The models and methods are explained and applied to real high-frequency trading data in: Patzelt, F. and Bouchaud, J-P. (2017): Nonlinear price impact from linear models. Journal of Statistical Mechanics: Theory and Experiment, 12, 123404. Preprint at arXiv:1708.02411 . ===================== ====================================================== Function Synopsis ===================== ====================================================== Gpow Return power law Propagator kernel betafromgamma Return exponent beta for a power law propagator kernel that decorrelates an input with a pure power law autocorrelation with exponent gamma calibratehdim2 Calibrate two-kernel History Dependent Impact Model calibratetim1 Calibrate original Transient Impact Model calibratetim2 Calibrate two-kernel Transient Impact Model hdim2 Simulate two-kernel History Dependent Impact Model integrate Return lag 1 sum, i.e. convert a differential kernel to a "bare response". kpow Return differential
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