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EngleGrangerResult

quant_metrics::cointegration

Struct EngleGrangerResult

pub struct EngleGrangerResult {
    pub adf_statistic: f64,
    pub p_value: f64,
    pub beta: f64,
    pub alpha: f64,
    pub half_life: Option<f64>,
    pub correlation: f64,
    pub spread_mean: f64,
    pub spread_std: f64,
}

Expand description

Result of an Engle-Granger cointegration test.

Fields§

§adf_statistic: f64

ADF test statistic on the residuals.

§p_value: f64

Approximate p-value for the ADF test. Uses MacKinnon critical values for two-variable cointegration.

§beta: f64

OLS regression coefficient (hedge ratio): y = alpha + beta * x.

§alpha: f64

OLS intercept.

§half_life: Option<f64>

Half-life of mean reversion in periods (e.g., days). Derived from Ornstein-Uhlenbeck process fit on the spread. None if the spread is not mean-reverting (theta >= 0).

§correlation: f64

Pearson correlation between the two series.

§spread_mean: f64

Mean of the spread (residuals).

§spread_std: f64

Standard deviation of the spread.

Trait Implementations§

impl Clone for EngleGrangerResult

fn clone(&self) -> EngleGrangerResult

Returns a duplicate of the value. Read more

1.0.0 · Source§

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

Performs copy-assignment from source. Read more

impl Debug for EngleGrangerResult

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

Formats the value using the given formatter. Read more

Auto Trait Implementations§

impl Freeze for EngleGrangerResult

impl RefUnwindSafe for EngleGrangerResult

impl Send for EngleGrangerResult

impl Sync for EngleGrangerResult

impl Unpin for EngleGrangerResult

impl UnsafeUnpin for EngleGrangerResult

impl UnwindSafe for EngleGrangerResult

Blanket Implementations§

impl<T> Any for T
where T: 'static + ?Sized,

fn type_id(&self) -> TypeId

Gets the TypeId of self. Read more

impl<T> Borrow<T> for T
where T: ?Sized,

fn borrow(&self) -> &T

Immutably borrows from an owned value. Read more

impl<T> BorrowMut<T> for T
where T: ?Sized,

fn borrow_mut(&mut self) -> &mut T

Mutably borrows from an owned value. Read more

impl<T> CloneToUninit for T
where T: Clone,

unsafe fn clone_to_uninit(&self, dest: *mut u8)

🔬This is a nightly-only experimental API. (clone_to_uninit)

Performs copy-assignment from self to dest. Read more

impl<T> From<T> for T

fn from(t: T) -> T

Returns the argument unchanged.

impl<T, U> Into<U> for T
where U: From<T>,

fn into(self) -> U

Calls U::from(self).

That is, this conversion is whatever the implementation of From<T> for U chooses to do.

impl<T> ToOwned for T
where T: Clone,

type Owned = T

The resulting type after obtaining ownership.

fn to_owned(&self) -> T

Creates owned data from borrowed data, usually by cloning. Read more

fn clone_into(&self, target: &mut T)

Uses borrowed data to replace owned data, usually by cloning. Read more

impl<T, U> TryFrom<U> for T
where U: Into<T>,

type Error = Infallible

The type returned in the event of a conversion error.

fn try_from(value: U) -> Result<T, <T as TryFrom<U>>::Error>

Performs the conversion.

impl<T, U> TryInto<U> for T
where U: TryFrom<T>,

type Error = <U as TryFrom<T>>::Error

The type returned in the event of a conversion error.

fn try_into(self) -> Result<U, <U as TryFrom<T>>::Error>

Performs the conversion.