market-microstructure

To compute VPIN and Kyle lambda for order-flow toxicity, you need tick-level or Level-2 data. This analysis detects informed trading and liquidity risk by modeling price impact, outputting structured metrics for execution planning and risk management.

Bid-ask spread decomposition breaks down quoted, effective, and realized spreads to estimate trading costs. This microstructure analysis improves cost expectations by isolating the actual price impact of intraday equity trades.

Yes, you need tick-level or Level-2 data to analyze limit-order-book dynamics. This data computes liquidity measures like Amihud and Roll, enabling depth and resilience analysis for intraday equity trading strategies.

Yes, you can apply market microstructure signals to China A-share intraday trading. The analysis covers call and closing auction dynamics, limit-order-book depth, and price formation to generate structured execution insights.

Linear and nonlinear price impact models quantify how order size affects price formation in market microstructure. Implementing both allows you to compare toxicity metrics and optimize liquidity execution for intraday equity trading.

You measure market liquidity using Amihud and Roll metrics by processing tick-level trade data. These liquidity measures evaluate price impact and spread resilience, providing structured insights for execution planning and risk management.