PROTECTED SOURCE SCRIPT
QUANT - LAB MICROSTRUCTURE
Market microstructure analysis suite for liquidity diagnostics and transaction cost estimation.
Liquidity Metrics:
Return-Volume Sensitivity (Hasbrouck 1991 inspired proxy)
Roll Spread Estimator (Roll 1984) — effective spread from price autocovariance
Amihud Illiquidity Ratio (Amihud 2002) — price impact per dollar volume
Features:
Z-score normalization with configurable lookback
Automatic regime classification (Normal/Elevated/Extreme)
Roll validity detection (Cov < 0 requirement)
Data quality metrics and validity percentage tracking
Interpretation:
RVS: Price sensitivity to order flow (higher = more impact)
Roll: Effective bid-ask spread in bps (undefined when Cov > 0)
Amihud: Illiquidity measure (higher = harder to trade)
Dashboard Includes:
Real-time Z-scores with regime labels
Dollar volume and volume trend (20/60 ratio)
Realized volatility (annualized)
Roll spread validity monitoring
Important:
Z-scores are HEURISTIC thresholds (fat tails apply — ±2σ ≠ 95%)
RVS uses endogenous proxy — NOT true Kyle's Lambda
Roll undefined when serial covariance > 0 (momentum regime)
Research/diagnostic tool only — NOT a trading system
References: Kyle (1985), Roll (1984), Amihud (2002), Hasbrouck (1991), Lee & Ready (1991)
Liquidity Metrics:
Return-Volume Sensitivity (Hasbrouck 1991 inspired proxy)
Roll Spread Estimator (Roll 1984) — effective spread from price autocovariance
Amihud Illiquidity Ratio (Amihud 2002) — price impact per dollar volume
Features:
Z-score normalization with configurable lookback
Automatic regime classification (Normal/Elevated/Extreme)
Roll validity detection (Cov < 0 requirement)
Data quality metrics and validity percentage tracking
Interpretation:
RVS: Price sensitivity to order flow (higher = more impact)
Roll: Effective bid-ask spread in bps (undefined when Cov > 0)
Amihud: Illiquidity measure (higher = harder to trade)
Dashboard Includes:
Real-time Z-scores with regime labels
Dollar volume and volume trend (20/60 ratio)
Realized volatility (annualized)
Roll spread validity monitoring
Important:
Z-scores are HEURISTIC thresholds (fat tails apply — ±2σ ≠ 95%)
RVS uses endogenous proxy — NOT true Kyle's Lambda
Roll undefined when serial covariance > 0 (momentum regime)
Research/diagnostic tool only — NOT a trading system
References: Kyle (1985), Roll (1984), Amihud (2002), Hasbrouck (1991), Lee & Ready (1991)
Script protegido
Este script se publica como código cerrado. No obstante, puede utilizarlo libremente y sin ninguna limitación. Obtenga más información aquí.
Institutional-grade diagnostics: GARCH, HMM Regimes, Cointegration, Microstructure, Fractal Analysis | Research only
Exención de responsabilidad
La información y las publicaciones no constituyen, ni deben considerarse como asesoramiento o recomendaciones financieras, de inversión, de trading o de otro tipo proporcionadas o respaldadas por TradingView. Más información en Condiciones de uso.
Script protegido
Este script se publica como código cerrado. No obstante, puede utilizarlo libremente y sin ninguna limitación. Obtenga más información aquí.
Institutional-grade diagnostics: GARCH, HMM Regimes, Cointegration, Microstructure, Fractal Analysis | Research only
Exención de responsabilidad
La información y las publicaciones no constituyen, ni deben considerarse como asesoramiento o recomendaciones financieras, de inversión, de trading o de otro tipo proporcionadas o respaldadas por TradingView. Más información en Condiciones de uso.