Trading.Analytics.TimeSeries (trading v0.1.0)
Time series analytics for market data and order book dynamics.
Summary
Functions
Calculates autocorrelation of returns.
Calculates volatility using various methods.
Detects microstructure patterns in order book data.
Calculates market microstructure noise.
Calculates rolling statistics over a time window.
Functions
@spec autocorrelation([float()], pos_integer()) :: [float()]
Calculates autocorrelation of returns.
Calculates volatility using various methods.
Detects microstructure patterns in order book data.
@spec estimate_noise([map()], pos_integer()) :: float()
Calculates market microstructure noise.
@spec rolling_stats([map()], pos_integer(), atom()) :: [map()]
Calculates rolling statistics over a time window.