Struct HasbrouckShare 

pub struct HasbrouckShare {
    pub security_a_share: f64,
    pub security_b_share: f64,
}

Simplified Hasbrouck (1995) information share via variance decomposition.

Decomposes the contribution of each security to the common efficient price using the fraction of total return variance attributable to each series.

security_a_share = Var(a) / (Var(a) + Var(b)), and similarly for B. Both shares sum to 1.0. When total variance is zero, each share is 0.5.

Example

use fin_primitives::microstructure::HasbrouckShare;

let a = vec![0.1, -0.1, 0.2];
let b = vec![0.05, -0.05, 0.1];
let hs = HasbrouckShare::estimate(&a, &b);
assert!((hs.security_a_share + hs.security_b_share - 1.0).abs() < 1e-10);

Fields

security_a_share: f64

Information share attributed to security A (0 to 1).

security_b_share: f64

Information share attributed to security B (0 to 1).

Implementations

impl HasbrouckShare

pub fn estimate(returns_a: &[f64], returns_b: &[f64]) -> Self

Estimate Hasbrouck information shares from return series.

returns_a and returns_b are period returns for the two securities. Uses the length of the shorter slice.

Trait Implementations

impl Clone for HasbrouckShare

fn clone(&self) -> Self

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Copy for HasbrouckShare

impl Debug for HasbrouckShare

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

Formats the value using the given formatter.