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πŸ”— Copula-free dependence (intrabar & duration)

13 novel Β· 0 crypto-prior Β· 0 excluded. Each row links its FOSS implementation + license + paper. Empirical orthogonality deferred.

#CandidateFOSS implementation @ licensePaper Β· provenanceCoverage
#61 bid_ask_intrabar_chatterjee_xi
Chatterjee'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
 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_correlation
Distance 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
 vnmabus/dcor
MIT
 DOI:10.1214/009053607000000505
git-anchor: absent @c803ef96e + @2d308f1c
 not-covered
#63 hoeffding_d_midreturn_duration
Hoeffding'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
 chaim-e/independence
GPL-3
 DOI:10.1214/aoms/1177730150
git-anchor: absent @c803ef96e + @2d308f1c
 not-covered
#64 bergsma_dassios_taustar_bidpath_askpath
Bergsma-Dassios tau* (sign covariance generalizing Kendall's tau) between within-bar bid-path and ask-path increments. tau* is 0 iff independent and p
 chaim-e/independence
GPL-3
 DOI:10.3150/13-BEJ514
git-anchor: absent @c803ef96e + @2d308f1c
 not-covered
#65 blomqvist_beta_bidpath_askpath
Blomqvist's beta (medial correlation): proportion of within-bar paired (bid-increment, ask-increment) points falling in the concordant quadrants defin
 easystats/correlation
GPL-3
 DOI:10.1214/aoms/1177729754
git-anchor: absent @c803ef96e + @2d308f1c
 not-covered
#77 schweizer_wolff_sigma_bidpath_askpath
Schweizer-Wolff sigma: the normalized L1 distance between the empirical copula of (intra-bar bid-tick rank, ask-tick rank) and the independence copula
 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_duration
Hoeffding's Phi-squared: the normalized L2 distance between the empirical copula of (mid log-return rank, bar-duration rank) and the independence copu
 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_spread
Kendall's tau-b: the tie-corrected concordant-minus-discordant rank concordance between signed mid log-return and spread (bps) across the bar substrat
 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_spread
Schechtman-Yitzhaki Gini correlation ASYMMETRY: the signed difference between the two directional Gini correlations R(return,rank(spread)) and R(sprea
 cran/GiniDistance
GPL-2.0
 DOI:10.1080/03610928708829359
git-anchor: absent @c803ef96e + @2d308f1c
 not-covered
#81 energy_distance_bidpath_askpath_distribution
Szekely-Rizzo energy distance between the empirical distribution of intra-bar bid tick increments and the empirical distribution of ask tick increment
 vnmabus/dcor
MIT
 DOI:10.1016/j.jspi.2013.03.018
git-anchor: absent @c803ef96e + @2d308f1c
 not-covered
#104 l_correlation_serfling_xiao_bidpath_askpath
Serfling-Xiao L-correlation: the 2nd-order L-comoment ratio ρ_L(X|Y)=λ2[12]/λ2[11], built from the concomitants of one intra-bar series (bid mid-price
 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_askpath
The 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
 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_askpath
Sang-Dang-Sang symmetric Gini covariance/correlation: a rank-based bivariate dependence built from the JOINT rank function (spatial-rank) rather than
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