screamer.js
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    Function Propagator

    • Bouchaud (2004) propagator model: price impact as a decaying-kernel convolution over past signed order flow.

      Parameters

      • windowSize: number = 20

        Number of past flow samples included in the convolution (the kernel support).

      • g0: number = 1.0

        Kernel amplitude; scales the overall impact magnitude.

      • gamma: number = 0.5

        Power-law decay exponent. Larger values make the kernel decay faster.

      Returns ScreamerOp

      https://screamer.readthedocs.io/en/latest/ for the Python reference and full details.