priceprop (pypi): Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.
Keywords: propagator|price impact|intra day|order flow|price return|Transient Impact Model|TIM|History Dependent Impact Model|HDIM|high-frequency-trading|kernel-model|linear-models|modeling|pandas|propagators|python|scientific|scientific-publications|time-series|time-series-econometrics