Family swept: illiquidity & price-impact + market-impact laws + capacity/turnover · campaign regime-invariant-orthogonality · append-only
The exit-cost / capacity axis. Fragility and ignition tell you a cascade is coming; this iteration harvests how hard it is to get out — the illiquidity and price-impact machinery. It deepens the seed set (Amihud, Kyle-λ, Kyle-Obizhaeva, Days-ADV, MRR, Glosten-Harris) with: low-frequency spread proxies (Gibbs, FHT, LOT/Zeros, effective tick), cross-venue price-discovery shares (Hasbrouck IS, Gonzalo–Granger CS), price-impact/reversal factors (Pástor–Stambaugh, Sadka), the market-impact laws (square-root law, Almgren–Chriss, Kyle–Obizhaeva trading-activity invariant W), resiliency/depth (VNET, Market Efficiency Coefficient), capacity/turnover (Hui–Heubel, turnover), and three crypto-native SOTA items.
The metaorder-label bridge. The impact laws (H60/H61/H65/H69/H71) classically need metaorder sizes we don't have in anonymous aggTrades. The genuinely new enabler here is H72 — Maitrier–Loeper–Bouchaud (2025) metaorder reconstruction, which synthesizes metaorders from anonymous public trades and recovers the √-law, concave profile and decay — making the whole impact-law block spot-legal from aggTrades (with a documented reconstruction-quality caveat). Raw quoted-spread / order-book depth stay L2 → out-of-scope.
| # | Name | Family | Measures | Cascade / liquidity mapping | Spot? | Param | Stable-ID | FOSS |
|---|---|---|---|---|---|---|---|---|
| H53 | Amihud–Mendelson spread premium | illiquidity-proxy (priced) | cross-sectional return premium for higher-spread assets | exit-difficulty priced as premium; crowding into liquid names | [O/T] | DR/PP | Amihud & Mendelson 1986, JFE — DOI 10.1016/0304-405X(86)90065-6 | VER eguidotti/bidask (R/Py, MIT) |
| H54 | Amivest liquidity ratio | illiquidity-proxy (ratio) | mean (price·volume)/|return| → $ volume to move price 1% | depth / price-impact (inverse exit-difficulty) | [O] | PF | Cooper, Groth, Avera 1985, JEB — DOI 10.1016/0148-6195(85)90003-7 | VER hand-rolled over OHLCV |
| H55 | Hasbrouck Information Share | price-discovery-share | share of efficient-price innovation variance per venue (VECM bounds) | which spot venue leads; fragmentation of price discovery | [MV] | PP | Hasbrouck 1995, J.Finance — DOI 10.1111/j.1540-6261.1995.tb04054.x | UNV ifrogs::pdshare (R, license UNV) |
| H56 | Gonzalo–Granger Component Share | price-discovery-share | permanent-transitory decomposition weight per venue in the common factor | venue leadership; resiliency of the common efficient price | [MV] | PP | Gonzalo & Granger 1995, JBES — DOI 10.1080/07350015.1995.10524576 | UNV ifrogs::pdshare (R, license UNV) |
| H57 | Hasbrouck Gibbs Bayesian spread | low-frequency-spread-proxy | Bayesian Roll-model effective cost c from daily closes (MCMC) | exit-difficulty / round-trip cost from daily data | [O] | PP | Hasbrouck 2009, J.Finance — DOI 10.1111/j.1540-6261.2009.01469.x | VER Hasbrouck author code (SAS/R, academic-use) |
| H58 | Pástor–Stambaugh liquidity (γ) | price-impact (reversal) | signed-volume → next-day return-reversal coefficient γ | resiliency / reversal after order flow; aggregate liquidity-risk factor | [O] | PP | Pástor & Stambaugh 2003, JPE — DOI 10.1086/374184 | UNV OpenSourceAP/CrossSection (Py) |
| H59 | Sadka fixed/variable price impact | price-impact | Glosten-Harris decomposition → variable-permanent (λ) + fixed-transitory | permanent impact (capacity/exit) vs transitory; informed-trader crowding | [T] | PP | Sadka 2006, JFE — DOI 10.1016/j.jfineco.2005.04.005 · parent H12 | UNV |
| H60 | Square-root law of market impact | market-impact-law | ΔP ≈ Y·σ·√(Q/V): impact ∝ √(participation); latent/critical liquidity | capacity & exit-difficulty; latent-liquidity depletion under crowding | [MOL→recon] | PP | Almgren et al. 2005, Risk 18:58-62 (no DOI); Tóth et al. 2011, PRX 1:021006 — DOI 10.1103/PhysRevX.1.021006; arXiv:1105.1694 | VER jpmorganchase/abides (Py, BSD-3); mlfinlab (proprietary) |
| H61 | Almgren–Chriss optimal execution | market-impact-law + capacity | efficient frontier of exec cost vs variance under linear temp+perm impact | capacity / cost-of-liquidation schedule | [MOL→recon] | PP | Almgren & Chriss 2000/01, J.Risk — DOI 10.21314/JOR.2001.041 | VER jpmorganchase/abides (Py, BSD-3) |
| H62 | FHT (Fong–Holden–Trzcinka) | low-frequency-spread-proxy | closed-form spread from % zero-return days + volatility (LOT-family) | exit-difficulty / effective spread from daily data (1000× faster than LOT) | [O] | PP | Fong, Holden, Trzcinka 2017, Rev.Finance — DOI 10.1093/rof/rfx003 | VER hand-rolled; bidask (spread family) |
| H63 | LOT + Zeros | low-frequency-spread-proxy | limited-dependent-variable model on daily returns (LOT); Zeros = % zero-return days | exit-difficulty / no-trade friction | [O] | PP/PF | Lesmond, Ogden, Trzcinka 1999, RFS — DOI 10.1093/rfs/12.5.1113 | VER hand-rolled |
| H64 | Effective Tick / Holden / GHT | low-frequency-spread-proxy | infers spread from clustering of closes on the price/tick grid | exit-difficulty from price discreteness (caveat: crypto tick very fine) | [O/T] | PP | Goyenko, Holden, Trzcinka 2009, JFE — DOI 10.1016/j.jfineco.2008.06.002; Holden 2009, JFM | VER hand-rolled |
| H65 | Kyle–Obizhaeva trading-activity invariant W | capacity-turnover + impact-law | W = σ·P·V; impact/spread/bet-size ∝ W^{1/3}/W^{−1/3}/W^{−2/3} | capacity / business-time pace of risk transfer; crowding | [O]+recon | DR | Kyle & Obizhaeva 2016, Econometrica — DOI 10.3982/ECTA10486 · parent S13 | UNV (no "Kritzman" co-author — conflation fixed) |
| H66 | VNET (Engle–Lange) | resiliency + depth | net signed volume absorbed before price moves a threshold (ACD-timed) | depth / resiliency ("value of patience") | [T] | PP | Engle & Lange 2001, J.Fin.Markets — DOI 10.1016/S1386-4181(00)00019-7 | UNV (ACD leg in econometrics pkgs) |
| H67 | Market Efficiency Coefficient | resiliency (price-efficiency) | variance ratio = var(long-h ret)/(N·var(short-h ret)); ≈1 = efficient/liquid | resiliency; transitory-noise / execution friction | [T/O] | PP | Hasbrouck & Schwartz 1988, JPM — DOI 10.3905/jpm.1988.409160 | UNV variance-ratio (trivial) |
| H68 | Hui–Heubel liquidity ratio | illiquidity-proxy (depth) | 5-day (Pmax−Pmin)/Pmin ÷ (volume/(float·P̄)) | depth / breadth; exit-difficulty | [O+supply] | MN | Hui & Heubel 1984, DRI monograph (no DOI) | UNV |
| H69 | Turnover / participation-rate capacity | capacity-turnover | turnover = volume/float; participation = order/ADV | capacity / crowding-adjusted exit; days-to-liquidate | [O+supply] | DR | Datar, Naik, Radcliffe 1998, JFM · parent S14 Days-ADV | VER hand-rolled |
| H70 | Brauneis et al. crypto proxy validation | illiquidity-proxy meta-study (crypto SOTA) | horse-race of LF proxies vs HF benchmark on BTC/ETH spot | validates which spot proxy best tracks depth/spread (→ Amihud + Corwin-Schultz) | [O/T] | eval | Brauneis, Mestel, Riordan, Theissen 2021, JBF — DOI 10.1016/j.jbankfin.2020.106041 | VER eguidotti/bidask (R/Py, MIT) |
| H71 | Donier–Bonart Bitcoin √-law impact | market-impact-law (crypto SOTA) | empirical √-law on BTC spot; Y-ratio≈0.9; informed-vs-uninformed decay | capacity / latent-liquidity depletion | [MOL] | PP | Donier & Bonart 2015, Mkt.Micro.&Liq. — DOI 10.1142/S2382626615500082; arXiv:1412.4503 | UNV SLMolenaar/crypto-market-impact (Py) |
| H72 | Maitrier–Loeper–Bouchaud metaorder reconstruction | market-impact-law enabling method (SOTA 2025) | synthesize metaorders from anonymous public trades → recover √-law, concave profile, decay | turns anonymous aggTrades into calibratable capacity/impact — bridges the MOL gap | [T] | PP | Maitrier, Loeper, Bouchaud 2025 — arXiv:2503.18199 (companions 2506.07711, 2502.16246) | UNV SLMolenaar/crypto-market-impact (Py) |
LiquidityMeasures / liqmetrics do NOT exist — do not cite. mlfinlab is NOT open-source (proprietary Hudson & Thames license) despite implementing Kyle/Amihud/Roll/CS/VPIN. The Kyle–Obizhaeva "Kritzman" co-author was a conflation → removed (H65).axis-2-cascade-free/CANDIDATE-CATALOG.md · back to loop hub