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)