Struct CorrelationBreakdownDetector 

pub struct CorrelationBreakdownDetector { /* private fields */ }

Tracks pairwise rolling correlations across N assets and detects rapid decorrelation, which is a hallmark of systemic crisis events.

The detector maintains a sliding window of cross-asset return pairs. When the fraction of pairs with |r| < threshold exceeds crisis_pair_fraction, a crisis signal is raised.

Example

use fin_primitives::regime::CorrelationBreakdownDetector;

let mut detector = CorrelationBreakdownDetector::new(20, 0.3, 0.6).unwrap();
// Feed returns for two assets over time
for i in 0..25 {
    let r_a = if i % 2 == 0 { 0.01 } else { -0.01 };
    let r_b = if i % 3 == 0 { 0.01 } else { -0.01 }; // decorrelated
    detector.update(0, r_a);
    detector.update(1, r_b);
    if detector.is_crisis() {
        println!("Crisis at bar {i}");
    }
}

Implementations

impl CorrelationBreakdownDetector

pub fn new( window: usize, threshold: f64, crisis_fraction: f64, ) -> Result<Self, FinError>

Constructs a new detector.

• window: rolling window length for correlation estimation.
• threshold: Pearson |r| below which a pair is considered decorrelated.
• crisis_fraction: fraction of pairs that must be decorrelated to signal crisis.

Errors

Returns FinError::InvalidInput on invalid parameters.

pub fn update(&mut self, asset_idx: usize, log_return: f64)

Registers a new return observation for asset asset_idx.

Assets are identified by a zero-based index. The detector auto-expands its internal storage as new asset indices are encountered.

pub fn is_crisis(&self) -> bool

Returns true when a crisis-level correlation breakdown is detected.

pub fn n_assets(&self) -> usize

Returns the number of asset slots registered.

pub fn reset(&mut self)

Resets all return buffers.

Trait Implementations

impl Clone for CorrelationBreakdownDetector

fn clone(&self) -> Self

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for CorrelationBreakdownDetector

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.