Struct KyleLambdaEstimate 

pub struct KyleLambdaEstimate {
    pub lambda: f64,
    pub r_squared: f64,
}

Kyle’s Lambda estimated via OLS regression of price changes on signed volume.

lambda = OLS slope of price_changes ~ signed_volumes. r_squared = coefficient of determination of that regression (0 to 1).

Example

use fin_primitives::microstructure::KyleLambdaEstimate;

let changes = vec![0.1, 0.2, -0.05, 0.15];
let volumes = vec![100.0, 200.0, -50.0, 150.0];
let est = KyleLambdaEstimate::estimate(&changes, &volumes);
assert!(est.lambda >= 0.0 || est.lambda < 0.0); // finite value
assert!((0.0..=1.0).contains(&est.r_squared));

Fields

lambda: f64

OLS price-impact coefficient (price change per unit of signed order flow).

r_squared: f64

R-squared of the OLS regression.

Implementations

impl KyleLambdaEstimate

pub fn estimate(price_changes: &[f64], signed_volumes: &[f64]) -> Self

Estimate Kyle’s Lambda from slices of price changes and signed volumes.

Uses OLS: lambda = Cov(ΔP, Q) / Var(Q). R-squared is computed as (Cor(ΔP, Q))^2.

Returns lambda = 0.0 and r_squared = 0.0 when there are fewer than 2 observations or when signed volume has zero variance.

Trait Implementations

impl Clone for KyleLambdaEstimate

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 KyleLambdaEstimate

impl Debug for KyleLambdaEstimate

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

Formats the value using the given formatter.