Module market_impact

Market Impact Analysis

Implements Kyle’s Lambda and other market impact metrics for measuring the price impact of trades and order flow.

Modules

simd

SIMD-optimized batch Kyle’s Lambda calculation using safe operations

Structs

KylesLambdaCalculator

Kyle’s Lambda calculator for market impact coefficient

MarketImpactAnalyzer

Advanced market impact metrics

MarketImpactMetrics

Market impact metrics