Every grounded candidate with a clickable FOSS implementation reference, an SPDX license badge (vs MIT host), a resolvable paper ID, the git-anchor provenance, and the chronicle-crosscheck coverage verdict.
| # | Candidate | Family | FOSS implementation @ license | Paper Β· provenance | Coverage |
|---|---|---|---|---|---|
| #1 | l_skewness_tau3Robust, parameter-free measure of return/tick-move asymmetry built from linear combinations of order statistics (L-moments) rather than third powers β |
π Distributional shape (L-moment | OpenHydrology/lmoments3 GPL-3 (lmoments3); BSD (scipy) |
DOI:10.1111/j.2517-6161.1990.t git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #2 | l_kurtosis_tau4Robust, parameter-free tail-peakedness measure from L-moments; concords with goodness-of-fit power and resists outliers far better than classical kurt |
π Distributional shape (L-moment | OpenHydrology/lmoments3 GPL-3 (lmoments3); BSD (scipy) |
DOI:10.1111/j.2517-6161.1990.t git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #3 | gini_mean_differenceExpected absolute difference between two independent draws of the within-bar return/spread distribution; a robust, distribution-free scale measure equ |
π Distributional shape (L-moment | cran/lmomco GPL-2.0-or-later |
DOI:10.1111/j.2517-6161.1990.t git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #4 | bowley_quantile_skewnessQuartile-based (Bowley/Galton) skewness coefficient: a bounded, outlier-robust asymmetry measure built from Q1, median, Q3 with fixed quartile positio |
π Distributional shape (L-moment | scipy/scipy (quantiles) + ~3 lines; robustats reference impl BSD-3-Clause (scipy) |
DOI:10.2307/2987742 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #5 | moors_octile_kurtosisA robust quantile-based peakedness/tail measure built from octiles, capturing how dispersed the distribution is around the +/-sigma shoulders without |
π Distributional shape (L-moment | scipy/scipy BSD-3-Clause |
DOI:10.2307/2348376 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #6 | medcouple_skewnessA robust skewness statistic equal to the median of a kernel of pairwise (above-median, below-median) comparisons; 25% breakdown, bounded influence, sc |
π Distributional shape (L-moment | statsmodels/statsmodels BSD-3-Clause |
DOI:10.1198/106186004X12632 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #7 | right_quantile_weight_tailweightA robust right-tail-heaviness descriptor: quartile skewness applied to the upper half of the distribution (above the median), capturing fat-right-tail |
π Distributional shape (L-moment | cran/robustbase GPL-3.0 (robustbase); reimplementa |
DOI:10.1016/j.csda.2004.09.012 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #8 | kelly_decile_skewnessA robust asymmetry measure reaching further into the tails than Bowley by using the 10th/50th/90th percentiles instead of quartiles, detecting outer-d |
π Distributional shape (L-moment | numpy/numpy BSD-3-Clause |
DOI:10.1093/biomet/62.1.101 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #9 | quartile_coeff_dispersion_intervals(Q3 β Q1)/(Q3 + Q1) of the within-bar inter-quote interval distribution β an outlier-robust, scale-free spread index of arrival-gap dispersion that do |
π Distributional shape (L-moment | scipy/scipy BSD-3-Clause |
DOI:10.1016/j.csda.2005.05.007 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #10 | sevcik_fdMaps the bar's price/quote curve into the unit square then estimates fractal dimension from the total point-to-point Euclidean curve length, capturing |
πͺ’ Fractal & curve-complexity | raphaelvallat/antropy BSD-3-Clause |
arXiv:1003.5266 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #11 | katz_fdFractal dimension of the price path computed from the ratio of total curve length to the path's diameter (max distance from the first point), capturin |
πͺ’ Fractal & curve-complexity | raphaelvallat/antropy BSD-3-Clause |
DOI:10.1016/0010-4825(88)90041 git-anchor: absent @c803ef96e + @2d308f1c |
crypto-prior |
| #12 | petrosian_fdFast fractal-dimension estimate driven only by the number of sign changes in the first difference of the series, measuring path roughness/zig-zag dens |
πͺ’ Fractal & curve-complexity | raphaelvallat/antropy BSD-3-Clause |
DOI:10.1109/CBMS.1995.465426 git-anchor: absent @c803ef96e + @2d308f1c |
crypto-prior |
| #13 | fractal_nldNormalized Length Density: after amplitude standardization, the mean absolute first difference of the bar's series, mapped through a fixed Weierstrass |
πͺ’ Fractal & curve-complexity | neuropsychology/NeuroKit MIT |
DOI:10.1186/1753-4631-3-8 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #14 | cid_ce_arclengthThe CID complexity estimate: the amplitude-space arc length of the series, i.e. the square root of the summed squared first differences β a single-pas |
πͺ’ Fractal & curve-complexity | pmontman/TSclust GPL-2.0+ |
DOI:10.1007/s10618-013-0312-3 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #15 | hjorth_complexityRatio-of-ratios shape descriptor: how much the rate-of-change of the series departs from a pure sinusoid, i.e. waveform shape irregularity, derived pu |
πͺ’ Fractal & curve-complexity | raphaelvallat/antropy BSD-3-Clause |
DOI:10.1016/0013-4694(70)90143 git-anchor: absent @c803ef96e + @2d308f1c |
crypto-prior |
| #16 | intrabar_range_traversal_efficiencyHow directly price walked between the high and the low: the bar's high-low range divided by the total absolute tick-to-tick path length traversed insi |
πͺ’ Fractal & curve-complexity | raphaelvallat/antropy BSD-3-Clause |
DOI:10.1016/0010-4825(88)90041 git-anchor: absent @c803ef96e + @2d308f1c |
crypto-prior |
| #17 | mean_cosine_turning_angleDirectional persistence of the tick/bar path: the average cosine of the heading change between consecutive segments in the (time, price) plane β a sig |
πͺ’ Fractal & curve-complexity | JimMcL/trajr GPL-3 |
DOI:10.1016/j.jtbi.2004.03.016 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #18 | vonneumann_ratioRatio of mean-square successive difference to total variance of the path β a parameter-free serial-structure / smoothness statistic; low values = tren |
π² Randomness & rank tests (runs/ | AndriSignorell/DescTools GPL-2/GPL-3 |
DOI:10.1214/aoms/1177731677 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #19 | bartels_rank_vn_ratioRank version of the von Neumann ratio: mean-square successive rank-difference over rank variance; a distribution-free serial-dependence/randomness sta |
π² Randomness & rank tests (runs/ | cran/randtests GPL-2.0-or-later |
DOI:10.1080/01621459.1982.1047 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #20 | mann_kendall_s_zMann-Kendall monotonic-trend statistic: the normalized sum over all ordered bar pairs of the sign of (later value minus earlier value) β a rank-based, |
π² Randomness & rank tests (runs/ | cran/Kendall GPL-2 (Kendall pkg); pymannkendall |
DOI:10.2307/1907187 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #21 | turning_point_rate_zStandardized count of turning points (bars that are a strict local max or local min vs their two neighbors) β high values indicate oscillatory/mean-re |
π² Randomness & rank tests (runs/ | cran/randtests GPL (>= 2) |
DOI:10.1111/j.2517-6161.1954.t git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #22 | difference_sign_test_zStandardized count of positive first-differences (number of up-moves) across the lookback β a parameter-free sign-balance-of-increments statistic dist |
π² Randomness & rank tests (runs/ | cran/aTSA GPL (>= 2) |
DOI:10.1093/biomet/42.1-2.80 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #23 | cox_stuart_trend_zCox-Stuart quick sign test for trend: pair the i-th value of the first half with the i-th of the second half, count how often the second exceeds the f |
π² Randomness & rank tests (runs/ | cran/randtests GPL (>= 2) |
DOI:10.1093/biomet/42.1-2.80 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #24 | foster_stuart_records_dFoster-Stuart record-breaking trend statistic: difference between counts of upper-record and lower-record breaks over the lookback β distribution-free |
π² Randomness & rank tests (runs/ | JorgeCastilloMateo/RecordTest GPL (>= 3) |
DOI:10.1111/j.2517-6161.1954.t git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #25 | pomeau_irreversibility_lag1The lag-1 time-asymmetric cubic statistic E[x_t^2 * x_{t-1} - x_t * x_{t-1}^2], which is positive/negative when the series rises and falls with differ |
β³ Time-irreversibility & tempora | MZanin/irreversibilitytestslibrary unknown/academic (verify on GitLab |
arXiv:0708.4022 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #26 | ehlers_increment_asymmetryEhlers' time-irreversibility index: the normalized third moment (skewness) of the first-difference series of close prices; zero means time-reversible, |
β³ Time-irreversibility & tempora | MZanin/irreversibilitytestslibrary unknown/academic (verify on GitLab |
DOI:10.3390/e23111474 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #27 | porta_increment_sign_asymmetryPorta's index: the fraction of negative first-differences among all nonzero first-differences; a value far from 0.5 indicates acceleration/deceleratio |
β³ Time-irreversibility & tempora | MZanin/irreversibilitytestslibrary unknown/academic (verify on GitLab |
DOI:10.3390/e23111474 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #28 | guzik_increment_magnitude_asymmetryGuzik's index: the share of total squared-increment 'energy' that comes from positive increments; differs from Porta by weighting by magnitude rather |
β³ Time-irreversibility & tempora | MZanin/irreversibilitytestslibrary unknown/academic (verify on GitLab |
DOI:10.3390/e23111474 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #29 | costa_accel_decel_asymmetryCosta-Goldberger-Peng time-irreversibility index: difference between the rates/energies of consecutive increases vs decreases ('accelerations' vs 'dec |
β³ Time-irreversibility & tempora | MZanin/irreversibilitytestslibrary unknown/academic (verify on GitLab |
DOI:10.1103/PhysRevLett.95.198 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #30 | dhvg_indegree_outdegree_kldLacasa directed-horizontal-visibility-graph irreversibility: map the price series to a directed horizontal visibility graph and measure the Kullback-L |
β³ Time-irreversibility & tempora | CarlosBergillos/ts2vg MIT (ts2vg) |
arXiv:1108.1691 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #31 | trading_polarityNet buy-vs-sell trade-count imbalance within the bar, signed and bounded in [-1,+1], using counts of buyer- and seller-initiated ticks rather than the β forex-roadmap-mentioned (listed as an UNTESTED inventory item in the May Gate extended-inventory; not yet evaluated β ve π FOREX-MENTIONED-ONLY (roadmap inventory, not evaluated) |
π Order-flow & tick intrinsics | reimplement from paper n/a |
DOI:10.3390/e22080897 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #32 | quote_revision_direction_asymmetryImbalance between the count of upward and downward revisions of the best-bid (and symmetrically best-ask) quote across the intra-bar quote stream β ca π FOREX-COVERED: evaluated on forex_bars in the 2026-05-26/27 Gate campaign |
π Order-flow & tick intrinsics | reimplement from paper n/a |
DOI:10.1093/rfs/10.4.1035 git-anchor: absent @c803ef96e + @2d308f1c |
β forex-dup |
| #33 | quote_to_trade_ratioRatio of the number of quote updates to the number of executed trades within the bar β quoting intensity relative to execution, a market-quality/HFT-a β β OUT-OF-SCOPE (G5): quote-only substrate, no trades/volume |
π Order-flow & tick intrinsics | reimplement from paper n/a |
DOI:10.1016/j.jbankfin.2014.09 git-anchor: absent @c803ef96e + @2d308f1c |
β out-of-scope (G5) |
| #34 | buy_sell_duration_asymmetryAsymmetry between mean inter-trade waiting times following buyer-initiated ticks versus seller-initiated ticks within the bar β a signed-time intrinsi β β OUT-OF-SCOPE (G5): quote-only substrate, no trades/volume |
π Order-flow & tick intrinsics | reimplement from paper n/a |
arXiv:physics/0608273 git-anchor: absent @c803ef96e + @2d308f1c |
β out-of-scope (G5) |
| #35 | signed_volume_gini_concentrationGini concentration of per-tick signed-volume contributions within the bar β measures whether directional order flow is dispersed across many ticks or β β OUT-OF-SCOPE (G5): quote-only substrate, no trades/volume |
π Order-flow & tick intrinsics | reimplement from paper n/a |
DOI:10.3390/jrfm17080325 git-anchor: absent @c803ef96e + @2d308f1c |
β out-of-scope (G5) |
| #36 | tick_rule_effective_spread_capture_ratioMean signed (price - mid) over the bar's ticks expressed as a fraction of the mean half-spread β a parameter-free proxy for how much of the quoted spr β β OUT-OF-SCOPE (G5): quote-only substrate, no trades/volume |
π Order-flow & tick intrinsics | mgao6767/frds MIT (unverified β github/pypi fetc |
DOI:10.1111/j.1540-6261.1991.t git-anchor: absent @c803ef96e + @2d308f1c |
β out-of-scope (G5) |
| #37 | cumulative_residual_entropyRao's CDF-based entropy: CRE = -β« S(x) log S(x) dx, replacing the density in Shannon entropy with the survival function; a parameter-free uncertainty |
π’ Information & negentropy (knob | reimplement from paper none |
DOI:10.1109/TIT.2004.828057 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #38 | cumulative_residual_extropyThe CDF-based dual of extropy: CREx = -1/2 β« S(x)^2 dx where S is the survival function; a knob-free concentration/dispersion measure that replaces th |
π’ Information & negentropy (knob | reimplement from paper none |
DOI:10.1017/S0269964819000196 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #39 | empirical_cumulative_entropyDi CrescenzoβLongobardi cumulative entropy: CE = -β« F(x) log F(x) dx using the CDF (left-tail dual of Rao's CRE); a parameter-free spread/uncertainty |
π’ Information & negentropy (knob | reimplement from paper none |
DOI:10.1016/j.jspi.2009.05.038 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #40 | lziv_complexity_signsLempel-Ziv (1976) complexity of the binary up/down sign sequence of the path: counts distinct sub-patterns produced by recursive copy, an entropy-rate π CRYPTO-PRIOR: present in patterns/crypto lit-scan (provenance only; still forex-proposable |
π’ Information & negentropy (knob | raphaelvallat/antropy BSD-3-Clause |
DOI:10.1109/TIT.1976.1055501 git-anchor: absent @c803ef96e + @2d308f1c |
crypto-prior |
| #41 | interval_entropy_dispersion_coeffEntropy-based (information) dispersion coefficient of the unit-mean-normalized inter-quote interval distribution β quantifies arrival-timing randomnes |
π’ Information & negentropy (knob | gregversteeg/NPEET MIT (NPEET); BSD-3-Clause (scipy) |
DOI:10.1016/j.ins.2012.12.046 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #42 | candle_signed_shoelace_areaSigned (oriented) area enclosed by treating one bar as the closed 4-vertex polyline openβhighβlowβcloseβopen in (ordinal-position, price) space, norma β β paper-ID β£ PENDING (G6) |
π―οΈ Single-bar candle geometry | shapely/shapely BSD-3-Clause |
no-DOI β shoelace / surveyor's-area form git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #43 | bid_ask_close_location_divergenceDifference between where the close sits within the BID candle's range versus within the ASK candle's range β a spread-geometry asymmetry that mid-pric β β paper-ID β£ PENDING (G6) |
π―οΈ Single-bar candle geometry | twopirllc/pandas-ta MIT |
no-DOI β composed from Williams' Close-L git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #44 | ohlc_ordinal_pattern_indexCategorical index naming which of the admissible orderings the four OHLC values realize within the single bar (since H is max and L is min, this resol |
π―οΈ Single-bar candle geometry | arsenetar/ordpy MIT |
DOI:10.1103/PhysRevLett.88.174 git-anchor: absent @c803ef96e + @2d308f1c |
crypto-prior |
| #45 | heikin_ashi_open_gap_signParameter-free Heikin-Ashi-derived single-bar invariant: the sign/normalized gap between the bar's HA-open ( (prev O + prev C)/2 ) and the bar's true β β paper-ID β£ PENDING (G6) |
π―οΈ Single-bar candle geometry | twopirllc/pandas-ta MIT |
no-DOI β Valcu, 'Using the Heikin-Ashi T git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #46 | intrabar_extreme_order_signA single sign indicating whether the bar's high or its low occurred first in time within the bar. |
π―οΈ Single-bar candle geometry | reimplement from paper none |
arXiv:2509.16137 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #47 | local_variation_lvMean of 3(Ο_i β Ο_{i+1})Β² / (Ο_i + Ο_{i+1})Β² over consecutive inter-quote intervals β a rate-robust local irregularity index where Poisson timing give |
β±οΈ Inter-quote timing & duration | NeuralEnsemble/elephant BSD-3-Clause (Modified BSD) |
DOI:10.1162/089976603322518759 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #48 | cv2_consecutive_intervalsMean of 2|Ο_{i+1} β Ο_i| / (Ο_{i+1} + Ο_i) over consecutive inter-quote intervals β a firing-rate-robust local timing-variability index (Poisson = 1). |
β±οΈ Inter-quote timing & duration | NeuralEnsemble/elephant BSD-3-Clause (Modified BSD) |
DOI:10.1152/jn.1996.75.5.1806 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #49 | gini_interquote_intervalGini concentration coefficient of the within-bar inter-quote interval lengths β measures how unequally arrival gaps are distributed (Poisson/exponenti |
β±οΈ Inter-quote timing & duration | AndriSignorell/DescTools GPL-2.0-or-later (DescTools); triv |
arXiv:physics/0701008 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #50 | rogers_satchell_var_barDrift-independent single-bar variance built from high/low/close relative to the bar open, so it is unbiased even when the bar trends. π CRYPTO-PRIOR: present in patterns/crypto lit-scan (provenance only; still forex-proposable |
π Range & volatility (drift-inde | cran/TTR GPL-2/3 |
DOI:10.1214/aoap/1177005835 git-anchor: absent @c803ef96e + @2d308f1c |
crypto-prior |
| #51 | overnight_gap_logret_sqSquared log gap between this bar's open and the previous bar's close β the pure close-to-open (overnight/inter-bar) variance component. π CRYPTO-PRIOR: present in patterns/crypto lit-scan (provenance only; still forex-proposable |
π Range & volatility (drift-inde | jasonstrimpel/volatility-trading MIT |
DOI:10.1086/209650 git-anchor: absent @c803ef96e + @2d308f1c |
crypto-prior |
| #52 | edge_spread_bpsEfficient Discrete Generalized Estimator: a single GMM-based effective-spread estimate that combines all four OHLC prices, asymptotically unbiased und |
π§ Effective spread & illiquidity | eguidotti/bidask MIT |
DOI:10.1016/j.jfineco.2024.103 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #53 | ohlc_generalized_spread_bpsA specific generalized OHLC-combination spread estimator (e.g., OHLC.CHLO or OHL.HLC average) from the same Ardia-Guidotti-Kroencke family, distinct f |
π§ Effective spread & illiquidity | eguidotti/bidask MIT |
DOI:10.1016/j.jfineco.2024.103 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #54 | hvg_mean_clustering_coefficient_barBuild the Horizontal Visibility Graph (HVG) of the bar's series (close, or the intra-bar mid-tick stream): each point is a node; nodes i,j connect iff |
πΈοΈ Visibility-graph topology (par | CarlosBergillos/ts2vg MIT (ts2vg); BSD-3-Clause (network |
DOI:10.1103/PhysRevE.80.046103 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #55 | hvg_degree_assortativity_coefficientBuild the HVG of the bar-close series (200-bar substrate); report the Pearson degree-degree assortativity coefficient r (correlation of degrees across |
πΈοΈ Visibility-graph topology (par | CarlosBergillos/ts2vg MIT (ts2vg); BSD-3-Clause (network |
arXiv:1012.3850 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #56 | hvg_tetradic_motif_profile_entropyThe occurrence-frequency vector of the six distinguishable 4-node (tetradic) motifs in the horizontal visibility graph of the bar series. Each motif e |
πΈοΈ Visibility-graph topology (par | CarlosBergillos/ts2vg MIT (ts2vg); BSD-3-Clause (network |
arXiv:1811.03794 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #57 | hvg_mean_shortest_path_lengthMean shortest-path length L of the HVG (average over all node pairs). For i.i.d. random series L scales as ~1.3*log(N)-1.7 (small-world); for high-Hur |
πΈοΈ Visibility-graph topology (par | CarlosBergillos/ts2vg (+ networkx for nx.average_shortest_path_length) MIT / BSD-3-Clause |
arXiv:1002.4526 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #58 | hvg_mean_degree_excessBuild the Horizontal Visibility Graph of the 200-bar close (or log-return) series; report the mean node degree <k> = 2*E/N. For any i.i.d. random seri |
πΈοΈ Visibility-graph topology (par | CarlosBergillos/ts2vg MIT |
arXiv:1002.4526 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #59 | hvg_forward_visibility_horizon_mean_barOn the directed HVG, the forward visibility horizon L+(t) at node t is the number of steps until the path first reaches/exceeds x_t (for tie-free seri |
πΈοΈ Visibility-graph topology (par | CarlosBergillos/ts2vg MIT (ts2vg); reference statistic h |
arXiv:2512.02352 git-anchor: absent @c803ef96e + @2d308f1c |
crypto-prior |
| #60 | vg_time_directed_clustering_kldDonges/pyunicorn time-reversal asymmetry of the LOCAL CLUSTERING COEFFICIENT in the visibility graph: decompose each node's local clustering coefficie β distinct topological aspect vs iter-1 dhvg_indegree_outdegree_kld (clustering not degree) |
πΈοΈ Visibility-graph topology (par | pik-copan/pyunicorn BSD-3-Clause |
arXiv:1507.01571 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #61 | bid_ask_intrabar_chatterjee_xiChatterjee's xi coefficient between the intra-bar bid tick series and the contemporaneous ask tick series (or between mid and spread). xi in [0,1] mea |
π Copula-free dependence (intrab | scipy/scipy BSD-3-Clause (scipy); MIT (xicor); |
DOI:10.1080/01621459.2020.1758 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #62 | bid_ask_intrabar_distance_correlationDistance correlation (Szekely-Rizzo) between the intra-bar bid and ask tick streams (or mid vs spread). dCor in [0,1], equals 0 iff the two are statis |
π Copula-free dependence (intrab | vnmabus/dcor MIT |
DOI:10.1214/009053607000000505 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #63 | hoeffding_d_midreturn_durationHoeffding's D measure of dependence between within-bar mid-return magnitude (Y) and inter-quote duration (X). D detects non-monotone/one-to-many depen |
π Copula-free dependence (intrab | chaim-e/independence GPL-3 |
DOI:10.1214/aoms/1177730150 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #64 | bergsma_dassios_taustar_bidpath_askpathBergsma-Dassios tau* (sign covariance generalizing Kendall's tau) between within-bar bid-path and ask-path increments. tau* is 0 iff independent and p |
π Copula-free dependence (intrab | chaim-e/independence GPL-3 |
DOI:10.3150/13-BEJ514 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #65 | blomqvist_beta_bidpath_askpathBlomqvist's beta (medial correlation): proportion of within-bar paired (bid-increment, ask-increment) points falling in the concordant quadrants defin |
π Copula-free dependence (intrab | easystats/correlation GPL-3 |
DOI:10.1214/aoms/1177729754 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #66 | categorical_recurrence_rate_close_tiesRecurrence Rate (RR) of EXACT-EQUAL close prices over the 200-bar substrate: the density of pairs (i,j) with C_i == C_j (price exactly revisited, epsi π CRYPTO-PRIOR: present in patterns/crypto lit-scan (provenance only; still forex-proposable |
β»οΈ Categorical recurrence quantif | morenococo/crqa GPL-3.0-or-later |
DOI:10.3389/fpsyg.2014.00510 git-anchor: absent @c803ef96e + @2d308f1c |
crypto-prior |
| #67 | categorical_rqa_determinism_logret_signBuild a binary recurrence matrix on the discrete symbol stream s_t = sign(close-to-close log return) over the 200-bar substrate, where R_ij = 1 iff s_ β caveat: l_min=2 structural-minimum line length (parameterless-by-convention) π CRYPTO-PRIOR: present in patterns/crypto lit-scan (provenance only; still forex-proposable |
β»οΈ Categorical recurrence quantif | morenococo/crqa GPL-3.0-or-later |
DOI:10.3389/fpsyg.2014.00510 git-anchor: absent @c803ef96e + @2d308f1c |
crypto-prior |
| #68 | categorical_rqa_laminarity_tickrule_directionOn the intra-bar tick-rule direction stream d_k in {+1,-1} (Lee-Ready: +1 if trade/quote-mid uptick, -1 if downtick) within each bar, build identity r β caveat: l_min=2 structural-minimum vertical line |
β»οΈ Categorical recurrence quantif | morenococo/crqa GPL-3.0-or-later |
DOI:10.1016/j.physrep.2006.11. git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #69 | categorical_rqa_trapping_time_quote_directionTrapping Time (TT) on the discrete quote-revision direction stream (best-bid/ask up vs down) = the AVERAGE length of vertical lines (v>=2) in the iden β caveat: l_min=2 structural-minimum vertical line |
β»οΈ Categorical recurrence quantif | morenococo/crqa GPL-3.0-or-later |
DOI:10.1016/j.physrep.2006.11. git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #70 | categorical_rqa_diagonal_entropy_logret_signDiagonal-line-length entropy (ENTR / L_ENTR) on the identity recurrence matrix of the close-to-close sign stream: Shannon entropy of the probability d β caveat: l_min=2 structural-minimum diagonal line |
β»οΈ Categorical recurrence quantif | morenococo/crqa GPL-3.0-or-later |
DOI:10.1016/j.physrep.2006.11. git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #71 | hjorth_mobility_barHjorth Mobility = sqrt( var(first difference of the series) / var(series) ). A scale-free 'mean-frequency' descriptor: the ratio of the standard devia π CRYPTO-PRIOR: present in patterns/crypto lit-scan (provenance only; still forex-proposable |
πͺ’ Fractal & curve-complexity | neuropsychology/NeuroKit MIT (NeuroKit2); BSD-3-Clause (ant |
DOI:10.1016/0013-4694(70)90143 git-anchor: absent @c803ef96e + @2d308f1c |
crypto-prior |
| #72 | psd_wiener_spectral_flatnessTonality-vs-noise descriptor of a bar's signal: ratio of the geometric mean to the arithmetic mean of the power spectrum of the mean-removed intra-bar π CRYPTO-PRIOR: present in patterns/crypto lit-scan (provenance only; still forex-proposable |
π‘ Spectral & cepstral shape (par | librosa/librosa (librosa.feature.spectral_flatness) ISC |
arXiv:1905.02284 git-anchor: absent @c803ef96e + @2d308f1c |
crypto-prior |
| #73 | psd_shannon_spectral_entropy_normNormalized Shannon spectral entropy: treat the normalized PSD of the bar's intra-bar tick path (or 200-bar close series) as a probability distribution π FOREX-COVERED: evaluated on forex_bars in the 2026-05-26/27 Gate campaign |
π‘ Spectral & cepstral shape (par | raphaelvallat/antropy (antropy.spectral_entropy, method='fft', normali BSD-3-Clause |
DOI:10.1016/0013-4694(91)90138 git-anchor: absent @c803ef96e + @2d308f1c |
β forex-dup |
| #74 | psd_spectral_centroid_normfreqSpectral center-of-mass ('brightness') of the bar's signal: the power-weighted mean frequency of the intra-bar mid tick path (or 200-bar close series) β forex-roadmap-mentioned (listed as an UNTESTED inventory item in the May Gate extended-inventory; not yet evaluated β ve π FOREX-MENTIONED-ONLY (roadmap inventory, not evaluated) |
π‘ Spectral & cepstral shape (par | librosa/librosa (librosa.feature.spectral_centroid) ISC |
HAL:hal-00692400 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #75 | psd_log_spectral_slope_fullbandFull-band spectral slope: slope of an OLS line fit to log-power vs log-frequency across ALL positive frequency bins (DC excluded) of the bar's intra-b |
π‘ Spectral & cepstral shape (par | librosa/librosa (poly_features, order=1, over full band) ISC |
HAL:hal-00692400 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #76 | midpath_zero_crossing_rate_meanremovedZero-crossing rate of the mean-removed intra-bar mid-price tick path: fraction of consecutive tick pairs where the de-meaned mid changes sign. A time- |
π‘ Spectral & cepstral shape (par | librosa/librosa (librosa.feature.zero_crossing_rate, threshold=0 ISC |
DOI:10.1109/PROC.1986.13663 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #77 | schweizer_wolff_sigma_bidpath_askpathSchweizer-Wolff sigma: the normalized L1 distance between the empirical copula of (intra-bar bid-tick rank, ask-tick rank) and the independence copula |
π Copula-free dependence (intrab | cran.r-project.org/package=copBasic (wolfCOP) GPL-2.0 |
DOI:10.1214/aos/1176345528 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #78 | hoeffding_phi_squared_midreturn_durationHoeffding's Phi-squared: the normalized L2 distance between the empirical copula of (mid log-return rank, bar-duration rank) and the independence copu |
π Copula-free dependence (intrab | cran.r-project.org/package=copBasic (hoefCOP) GPL-2.0 |
DOI:10.1016/j.jmva.2010.06.011 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #79 | kendall_taub_signedreturn_spreadKendall's tau-b: the tie-corrected concordant-minus-discordant rank concordance between signed mid log-return and spread (bps) across the bar substrat |
π Copula-free dependence (intrab | scipy/scipy (scipy.stats.kendalltau, variant='b') BSD-3-Clause |
DOI:10.1093/biomet/33.3.239 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #80 | gini_correlation_asymmetry_signedreturn_spreadSchechtman-Yitzhaki Gini correlation ASYMMETRY: the signed difference between the two directional Gini correlations R(return,rank(spread)) and R(sprea |
π Copula-free dependence (intrab | cran/GiniDistance GPL-2.0 |
DOI:10.1080/03610928708829359 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #81 | energy_distance_bidpath_askpath_distributionSzekely-Rizzo energy distance between the empirical distribution of intra-bar bid tick increments and the empirical distribution of ask tick increment |
π Copula-free dependence (intrab | vnmabus/dcor MIT |
DOI:10.1016/j.jspi.2013.03.018 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #82 | sign_negentropy_logcosh_gapHyvarinen robust negentropy of the standardized log-return series: the squared gap between the expected logcosh contrast on the data and on a matched |
π’ Information & negentropy (knob | scikit-learn (sklearn.decomposition.FastICA, _gsBSD-3-Clause |
DOI:10.1016/S0893-6080(00)0002 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #83 | sign_two_state_entropy_rateShannon entropy rate of the return-sign sequence modeled as a two-state (up/down) Markov chain: estimate the up->down and down->up flip probabilities β lag-1 Markov sign-transition entropy (structural) Β· forex-roadmap-mentioned (listed as an UNTESTED inventory item in the π FOREX-MENTIONED-ONLY (roadmap inventory, not evaluated) |
π’ Information & negentropy (knob | github.com/gregversteeg/NPEET (entropy estimatorMIT |
DOI:10.3390/e23081046 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #84 | empirical_cdf_fisher_rao_arclengthFisher-Rao (square-root-density / SRVF) arc length of the path traced by the empirical distribution of returns when read as a curve on the unit sphere |
π’ Information & negentropy (knob | github.com/jdtuck/fdasrsf_python (fdasrsf)BSD-3-Clause |
arXiv:1103.3817 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #85 | updown_magnitude_cumulative_js_divergenceCumulative Jensen-Shannon divergence (Nguyen-Vreeken CJS) between the empirical distribution of |return| on up-bars and the empirical distribution of |
β³ Time-irreversibility & tempora | github.com/eda-rg/cjs (CISPA eda.rg 'cjs' refereMIT |
DOI:10.1007/978-3-319-23525-7_ git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #86 | interquote_count_fano_factorDispersion of the per-second (or per-bar-subinterval) quote counts relative to a Poisson process: variance-of-counts divided by mean-of-counts over th |
β±οΈ Inter-quote timing & duration | elephant-org/elephant (elephant.statistics.fanofactor) BSD-3-Clause |
DOI:10.3389/fncom.2020.569049 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #87 | realized_semivariance_signed_ratioWithin-bar decomposition of realized variance into the part from up-ticks vs down-ticks of the mid: RS+ = sum of squared positive mid log-returns, RS- |
π Range & volatility (drift-inde | bashtage/arch Β· cran.r-project.org/package=highfrequency (realized measures); (rSVar) NCSA (arch) / GPL-2.0-or-later (hi |
DOI:10.1162/REST_a_00503 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #88 | tickrule_run_length_entropyShannon entropy of the run-length distribution of consecutive same-direction tick-rule signs within the bar. Captures whether order flow comes in long β forex-roadmap-mentioned (listed as an UNTESTED inventory item in the May Gate extended-inventory; not yet evaluated β ve π FOREX-MENTIONED-ONLY (roadmap inventory, not evaluated) |
π Order-flow & tick intrinsics | raphaelvallat/antropy (entropy primitives); RLE via numpy BSD-3-Clause |
arXiv:2003.05500 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #89 | holden_effective_tick_clusteringEffective-tick (Holden/Goyenko-Holden-Trzcinka) clustering measure: from how often intra-bar prices land on coarse vs fine multiples of the symbol's m β needs symbol tick size (data constant); GPL bidask ref |
π§ Effective spread & illiquidity | eguidotti/bidask (bidask: EDGE + companion low-freq spread proxie GPL-3.0 |
DOI:10.1016/j.jfineco.2008.06. git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #90 | intrabar_path_straightness_indexThe straightness (net-to-gross displacement) index of the intrabar mid-price path: net displacement (close - open in price, or Euclidean endpoint dist π CRYPTO-PRIOR: present in patterns/crypto lit-scan (provenance only; still forex-proposable |
π§ Intrabar path geometry & topol | JimMcL/trajr (TrajStraightness) GPL-3.0 |
DOI:10.1016/j.jtbi.2004.03.016 git-anchor: absent @c803ef96e + @2d308f1c |
crypto-prior |
| #91 | intrabar_path_total_absolute_turningSum of the absolute exterior turning angles at every interior vertex of the intrabar (time,price) tick polyline, normalized by total arc length (total |
π§ Intrabar path geometry & topol | JimMcL/trajr Β· scipy/scipy (TrajAngles / turning angles); (vector algebra) GPL-3.0 |
DOI:10.1145/1090122.1090160 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #92 | intrabar_gyration_tensor_asphericityForm the 2x2 radius-of-gyration tensor of the intrabar point cloud {(t_i, p_i)} (tick mids, mean-centered, in normalized time-price coordinates), take |
π§ Intrabar path geometry & topol | glotzerlab/freud Β· plumed/plumed2 (ClusterProperties gyration tensor); (GYRATION BSD-3-Clause |
DOI:10.1063/1.1674820 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #93 | intrabar_convex_hull_area_to_pathlength_ratioCompute the convex hull of the intrabar (time,price) tick point cloud in normalized coordinates; report the dimensionless ratio hull_area / (path_arc_ |
π§ Intrabar path geometry & topol | scipy/scipy (scipy.spatial.ConvexHull / Qhull) BSD-3-Clause |
DOI:10.3390/ijgi7010014 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #94 | intrabar_normalized_levy_areaThe LΓ©vy area of the intrabar 2D path lift (e.g. (time, mid) or the (bid, ask) co-path), i.e. the signed area enclosed between the path and the chord β level-2 path-signature fixed depth (structural) |
π§ Intrabar path geometry & topol | bottler/iisignature Β· datasig-ac-uk/RoughPy GPL-3.0 |
arXiv:1603.03788 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #95 | intrabar_h0_total_persistenceSublevel-set persistent homology (H0) of the intrabar mid-price function vs. time: sweep the price level upward, record birth (local minima) and death π CRYPTO-PRIOR: present in patterns/crypto lit-scan (provenance only; still forex-proposable |
π§ Intrabar path geometry & topol | scikit-tda/ripser.py Β· giotto-ai/giotto-tda (CubicalPersistence/lower-star) MIT |
arXiv:2311.01115 git-anchor: absent @c803ef96e + @2d308f1c |
crypto-prior |
| #96 | sign_markov_entropy_production_rate_threestateMarkov-chain entropy-production (time-irreversibility) rate of the 3-state sign transition matrix: the Kullback-Leibler divergence rate between the fo β lag-1 3-state sign Markov chain (structural alphabet) Β· forex-roadmap-mentioned (listed as an UNTESTED inventory item in π FOREX-MENTIONED-ONLY (roadmap inventory, not evaluated) |
β³ Time-irreversibility & tempora | github.com/networkx/networkx (graph build) + cloBSD-3-Clause |
arXiv:1201.5613 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #97 | sign_markov_slem_spectral_gap_mixing_threestateSecond-largest-eigenvalue-modulus (SLEM) / spectral-gap mixing rate of the 3-state sign transition matrix: |lambda_2| where lambda_2 is the eigenvalue β lag-1 sign Markov chain |
π² Randomness & rank tests (runs/ | github.com/TommasoBelluzzo/PyDTMC (MarkovChain.mMIT |
DOI:10.1137/S0036144503423264 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #98 | sign_markov_inout_strength_asymmetry_fluxNet stationary-flux asymmetry of the 3-state sign transition graph: for each directed sign-pair the antisymmetric current J_ij = pi_i P_ij - pi_j P_ji β lag-1 sign Markov chain |
β³ Time-irreversibility & tempora | github.com/networkx/networkx + numpy closed-formBSD-3-Clause |
arXiv:2404.01978 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #99 | groeneveld_meeden_b3_skewnessGroeneveld-Meeden global skewness b3 = (mean - median)/E|X - median| = (mean-median)/MAD-from-median. The mean-median location gap normalized by the m |
π Distributional shape (L-moment | scipy/scipy (mean, median, median_abs_deviation primitives) BSD-3-Clause |
DOI:10.2307/2987742 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #100 | hl_pseudomedian_minus_median_gapLocation-shape gap between the Hodges-Lehmann pseudomedian (median of all Walsh pairwise averages (xi+xj)/2) and the ordinary median, normalized by a |
π Distributional shape (L-moment | scipy/scipy (median primitive) + numpy Walsh-average constru BSD-3-Clause |
DOI:10.1214/aoms/1177704172 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #101 | bickel_halfsample_mode_skewnessBickel modal skewness = (mean - mode)/scale, where the mode is the robust Half-Sample Mode (HSM): recursively keep the shortest half-interval containi β half-sample-mode structural (dense ticks needed) |
π Distributional shape (L-moment | cran/modeest (paulponcet/modeest mirror) hsm() + skewness GPL-3 |
DOI:10.1016/S0167-9473(01)0005 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #102 | left_medcouple_lower_tailweightBrys-Hubert-Struyf Left Medcouple (LMC): the medcouple skewness kernel evaluated on the lower structural half {x <= median}, i.e. LMC = -mc(x[x<=media |
π Distributional shape (L-moment | cran/robustbase lmc() GPL-2.0-or-later |
DOI:10.1016/j.csda.2004.09.012 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #103 | right_medcouple_upper_tailweightBrys-Hubert-Struyf Right Medcouple (RMC): medcouple kernel on the upper structural half {x >= median}, RMC = mc(x[x>=median]). Robust per-tail kurtosi |
π Distributional shape (L-moment | cran/robustbase rmc() GPL-2.0-or-later |
DOI:10.1016/j.csda.2004.09.012 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #104 | l_correlation_serfling_xiao_bidpath_askpathSerfling-Xiao L-correlation: the 2nd-order L-comoment ratio Ο_L(X|Y)=Ξ»2[12]/Ξ»2[11], built from the concomitants of one intra-bar series (bid mid-price |
π Copula-free dependence (intrab | cran.r-project.org/package=lmomco (Lcomoment.matrix + Lcomoment.correlation, Willi GPL-2.0-or-later |
DOI:10.1016/j.jmva.2007.01.008 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #105 | l_comoment_directional_asymmetry_bidpath_askpathThe Serfling-Xiao directional gap Ξ = Ξ»2[12] - Ξ»2[21]: the difference between the 2nd L-comoment of bid-path-given-ask-path and ask-path-given-bid-pat |
π Copula-free dependence (intrab | cran.r-project.org/package=lmomco (Lcomoment.matrix off-diagonal entries [12] vs [ GPL-2.0-or-later |
DOI:10.1016/j.jmva.2007.01.008 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #106 | symmetric_gini_covariance_jointrank_bidpath_askpathSang-Dang-Sang symmetric Gini covariance/correlation: a rank-based bivariate dependence built from the JOINT rank function (spatial-rank) rather than |
π Copula-free dependence (intrab | xdang/SymmetricGini (Ole Miss Xin Dang reference code; also reimplem GPL-3.0-or-later |
DOI:10.1002/cjs.11287 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #107 | etc_effort_to_compress_logret_signEffort-To-Compress complexity of the per-bar log-return sign string {+,0,-}: run Non-Sequential Recursive Pair Substitution (NSRPS) β at each step rep |
π’ Information & negentropy (knob | pranaysy/ETCPy Apache-2.0 |
DOI:10.1140/epjst/e2013-01888- git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #108 | sequitur_grammar_compression_ratio_logret_signRun the Sequitur (Nevill-ManningβWitten) online grammar-inference algorithm on the log-return sign string. Sequitur is fully deterministic β it enforc |
π’ Information & negentropy (knob | markomanninen/pysequitur MIT |
arXiv:cs/9709102 (Nevill-Manning & Witte git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #109 | intrabar_h0_persistent_entropyShannon entropy of the normalized H0 lifetime distribution from the single sublevel-set filtration of the intrabar mid-price-vs-time function. Take th β single natural sublevel filtration (structural) π CRYPTO-PRIOR: present in patterns/crypto lit-scan (provenance only; still forex-proposable |
π§ Intrabar path geometry & topol | GUDHI/gudhi-devel Β· giotto-ai/giotto-tda (CubicalComplex sublevel persistence + entropy); GUDHI: MIT (core; some modules pul |
arXiv:1803.08304 git-anchor: absent @c803ef96e + @2d308f1c |
crypto-prior |
| #110 | anderson_darling_a2_vs_gaussian_fit_logretAnderson-Darling goodness-of-fit statistic AΒ² measuring the squared distance between the empirical CDF of the bar's intra-bar mid log-returns and the |
π Distributional shape (L-moment | statsmodels/statsmodels (statsmodels.stats.diagnostic.normal_ad β return BSD-3-Clause |
DOI:10.1214/aoms/1177729437 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #111 | spread_increment_sign_reversal_ratePer-bar fraction of consecutive intra-bar spread increments that reverse direction. Build the per-tick spread s_t = ask_t - bid_t, take first differen |
π Order-flow & tick intrinsics | github.com/blue-yonder/tsfresh (number_crossing_MIT |
DOI:10.1111/j.1540-6261.1984.t git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #112 | theil_t_index_interquote_durationsTheil's T entropy inequality index (generalized-entropy GE(1)) computed on the set of intra-bar interquote durations: T = (1/n)Β·Ξ£ (dα΅’/dΜ)Β·ln(dα΅’/dΜ), w β GE(1) order Ξ± fixed at 1 (structural); dense duration-inequality family β |r| screen vs interval_entropy_dispersion_coef |
β±οΈ Inter-quote timing & duration | pysal/inequality (class inequality.theil.Theil) BSD-3-Clause |
DOI:10.1007/978-0-387-72796-7_ git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #113 | ramsey_rothman_bicovariance_gamma21_lag1_midlogretRamseyβRothman symmetric-bicovariance time-reversal-asymmetry statistic at lag 1 on the zero-mean mid log-return series: Ξ³β,β = E[YβΒ²Β·Yβββ] β E[YβΒ·Yββ β lag-1 + orders (2,1) structural; use the ΟΒ³-normalized point estimate, NOT the p-value test form (which needs a finite 6 |
β³ Time-irreversibility & tempora | MZanin/irreversibility (Zanin 2025; PMC12650947) MIT (unverified β confirm on repo; |
DOI:10.2307/2077963 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #114 | intrabar_positive_occupation_fraction_above_open_us_weightedMicrosecond-weighted fraction of intra-bar time the mid (or bid/ask) path spends STRICTLY ABOVE the bar's opening mid. This is LΓ©vy's first arcsine la β βabove openβ is a fixed structural reference (parameterless-by-convention), not a tuned level. |
π Intrabar occupation-time & arc | scipy/scipy (scipy.stats.arcsine for the null CDF; numpy for BSD-3-Clause |
arXiv:1706.01675 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #115 | intrabar_time_weighted_occupation_above_twapFraction of the bar's wall-clock duration that the mid-price spends strictly above the bar's own time-weighted average price (TWAP), computed by integ β Centered (above own TWAP) companion to the above-open occupation; check mutual Spearman vs above-open tomorrow. |
π Intrabar occupation-time & arc | scipy/scipy BSD-3-Clause |
arXiv:1712.00795 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #116 | intrabar_normalized_time_of_maximumNormalized timestamp of the intra-bar HIGH: (t_argmax(high) - t_start)/duration, in [0,1]. LΓ©vy's third arcsine law functional. Encodes WHEN the extre |
π Intrabar occupation-time & arc | numpy/numpy (argmax + normalization) BSD-3-Clause |
arXiv:1706.01675 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #117 | intrabar_signed_normalized_time_lead_of_high_over_lowSigned temporal lead of the extremes: (t_argmax(high) - t_argmin(low))/duration, in [-1,1]. Positive => the high occurred AFTER the low (down-then-up β claim narrowed to the |ΞT| magnitude (sign = #46) β Its SIGN duplicates intrabar_extreme_order_sign; only the |ΞT| MAGNITUDE (temporal separation of the extremes) is the no |
π Intrabar occupation-time & arc | numpy/numpy BSD-3-Clause |
arXiv:1706.01675 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #118 | critical_exponent_sign_wordThe critical exponent of the per-bar sign(Ξmid) word over the 200-bar window: the supremum, taken over ALL factors of the word, of (factor length / it β β paper-ID β£ PENDING (G6) β lag-1 sign word (199 symbols) is the structural-minimum substrate. |
π€ Combinatorics-on-words symboli | sagemath/sage GPL-3.0-or-later |
arXiv:1406.0263 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #119 | palindromic_defect_sign_wordThe palindromic defect of the sign(Ξmid) word: D(w) = (|w| + 1) β (number of DISTINCT palindromic factors of w, including the empty word). By the Drou β lag-1 sign word; DJP empty-word+singletons counted by fixed convention, not a knob. |
π€ Combinatorics-on-words symboli | sagemath/sage GPL-3.0-or-later |
DOI:10.1142/S012905410400242X git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |
| #120 | pietra_hoover_index_interquote_durationsThe Pietra index (a.k.a. Hoover / Schutz / Robin-Hood index) of the intra-bar inter-quote interval durations: the maximum vertical gap between the Lor β L1 max-Lorenz-gap (=Β½ relative MAD); distinct interior ranking from the Gini/Theil duration items β confirm orthogonalit |
β±οΈ Inter-quote timing & duration | numpy/numpy BSD-3-Clause |
DOI:10.1016/j.csda.2020.106974 git-anchor: absent @c803ef96e + @2d308f1c |
not-covered |