kyle-lambda

Here are 2 public repositories matching this topic...

kayasolomon / order-flow-toxicity

OFI, VPIN and Kyle's lambda scored against synthetic order flow with known informed-trading intensity — including the finding that BVC-VPIN mostly tracks volatility.

python trading econometrics quantitative-finance liquidity market-microstructure vpin order-flow ofi kyle-lambda

Updated Aug 2, 2026
Python

codedpro / market-conductance

Star

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

reproducible-research quantitative-finance gold market-microstructure event-study commitments-of-traders falsification price-impact kyle-lambda amihud-illiquidity

Updated Sep 10, 2026
Python

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