Struct StylizedFactsReport 

pub struct StylizedFactsReport {
    pub excess_kurtosis: f64,
    pub abs_return_autocorr: f64,
    pub vol_clustering_acf: f64,
    pub gain_loss_skew: f64,
    pub aggregational_gaussianity: f64,
    pub zumbach_asymmetry: f64,
}

The measured stylized-facts profile of a return series. Each field is a plain statistic; the realism predicates (StylizedFactsReport::has_fat_tails …) compare them against a RealismThresholds.

Fields

excess_kurtosis: f64

Excess kurtosis (kurtosis - 3). > 0 ⇒ fatter tails than a Gaussian.

abs_return_autocorr: f64

Lag-1 autocorrelation of |returns| — the cleanest single volatility-clustering signal (magnitudes persist even when signed returns do not).

vol_clustering_acf: f64

Mean autocorrelation of squared returns over the first several lags — the slow-decaying persistence that is the hallmark of volatility clustering.

gain_loss_skew: f64

Skewness of returns — the gain/loss asymmetry (equity indices fall faster than they rise, so this is typically negative). Reported, not gated.

aggregational_gaussianity: f64

Excess-kurtosis drop under temporal aggregation (raw − aggregated). > 0 ⇒ the distribution becomes more Gaussian at longer horizons (aggregational Gaussianity); the aggregation block size is AGGREGATION_BLOCK.

zumbach_asymmetry: f64

Time-reversal-asymmetry (Zumbach/leverage) score: lev_fwd − lev_rev, the difference between “past return → future volatility” and “past volatility → future return” lead-lag correlation. ~0 under time reversal; markedly non-zero (usually negative, from the leverage effect) in real markets.

Implementations

impl StylizedFactsReport

pub fn has_fat_tails(&self, t: &RealismThresholds) -> bool

Fat tails: excess kurtosis clears the bar.

pub fn has_volatility_clustering(&self, t: &RealismThresholds) -> bool

Volatility clustering: |return| autocorrelation clears the bar.

pub fn has_aggregational_gaussianity(&self, t: &RealismThresholds) -> bool

Aggregational Gaussianity: kurtosis shrinks enough under aggregation.

pub fn has_time_reversal_asymmetry(&self, t: &RealismThresholds) -> bool

Time-reversal asymmetry: the Zumbach/leverage score is large enough in magnitude (either sign) to distinguish the series from its time reversal.

pub fn is_realistic(&self, t: &RealismThresholds) -> bool

Every gated stylized fact holds.

pub fn failures(&self, t: &RealismThresholds) -> Vec<RealismFailure>

The specific stylized facts the series fails to exhibit (empty ⇒ realistic).

Trait Implementations

impl Clone for StylizedFactsReport

fn clone(&self) -> StylizedFactsReport

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for StylizedFactsReport

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

Formats the value using the given formatter.