Struct EventStudy 

pub struct EventStudy;

The event study engine.

Implementations

impl EventStudy

pub fn compute( event: &MarketEvent, price_series: &[(u64, f64)], benchmark: &[(u64, f64)], window: EventWindow, ) -> EventResult

Compute abnormal returns around event using a market-model benchmark.

Arguments

• event: the market event to study.
• price_series: (unix_ts_secs, price) pairs for the security, chronological.
• benchmark: (unix_ts_secs, price) pairs for the benchmark, chronological.
• window: event window specification.

Returns

An EventResult with abnormal returns and summary statistics.

pub fn significance(results: &[EventResult]) -> f64

Compute the t-statistic on average CAR across multiple event results.

Formula: t = mean_CAR / (std_CAR / sqrt(N))

The CAR used per event is the total window CAR: the cumulative abnormal return on the last day of the window, which includes the event day (car_pre + AR(0) + car_post). Returns 0.0 if fewer than 2 results are provided, or if every event has the same CAR (zero dispersion leaves the t-statistic undefined).