Crate ferro_wave_finance

Expand description

Stable finance-facing API boundary for FerroWave.

This crate owns product-facing finance contracts for downstream product systems. It depends on ferro-wave core transforms and wavelets, but it intentionally does not depend on ferro-wave-examples.

The v1 boundary starts with versioned profile/configuration types, supported wavelet and transform specs, diagnostics policy, methodology metadata, and a common signal envelope. Finance algorithms are promoted into this crate by follow-up work once their output contracts are stable.

Re-exports§

pub use calibration::builtin_calibration_fixtures;
pub use calibration::default_calibration_profile_cases;
pub use calibration::run_calibration_validation;
pub use calibration::CalibrationCaseReport;
pub use calibration::CalibrationExpectation;
pub use calibration::CalibrationExpectationReport;
pub use calibration::CalibrationFixture;
pub use calibration::CalibrationFixtureKind;
pub use calibration::CalibrationHarnessConfig;
pub use calibration::CalibrationProfileCase;
pub use calibration::CalibrationReferenceReport;
pub use calibration::CalibrationReport;
pub use calibration::CalibrationSignalReport;
pub use calibration::RankingIntegrationReadiness;
pub use calibration::WalkForwardSpec;
pub use calibration::WalkForwardWindow;

Modules§

calibration: Deterministic validation harness for finance-facing signal contracts.

Structs§

CoefficientScore: A scored detail coefficient that did not cross the detection threshold but ranks high enough (per NearThresholdConfig) to surface for near-threshold ranking/aggregation. Carries the same continuous scores as a detected JumpEvent without the product-facing warning fields.
CrossAssetCoherenceComponent: Per-scale cross-asset coherence component for future productization.
CrossAssetCoherenceConfig: Configuration for productized MODWT cross-asset coherence analytics.
CrossAssetCoherenceResult: Future cross-asset coherence payload shape.
CrossAssetCoherenceSignal: EOD Wave Pack cross-asset coherence slot.
CwtBandPower: Per-period element of the CWT spectral fingerprint (global wavelet spectrum).
CwtPeriodCoherence: Per-period summary produced by the CWT phase-coherence signal.
CwtPhaseCoherenceConfig: Configuration for the productized CWT phase-coherence signal.
CwtPhaseCoherenceResult: Productized CWT phase-coherence result.
CwtPowerScalogram: Optional single-series power scalogram (DiagnosticsPolicy::Full only). Heavy payload; the power-only counterpart to CwtScalogram.
CwtScalogram: Optional time-frequency scalogram included only when DiagnosticsPolicy::Full is selected on the profile. Heavy payload.
CwtSpectralFingerprintConfig: Configuration for the productized CWT global-wavelet-spectrum (“spectral fingerprint”) signal. Mirrors the period-grid / padding controls of CwtPhaseCoherenceConfig without the coherence-only confidence_alpha.
CwtSpectralFingerprintResult: Productized CWT spectral-fingerprint result: the global wavelet spectrum (time-averaged scalogram) as a compact per-period power vector, plus the dominant period and spectral centroid. Amplitude is preserved.
CycleComponentSummary: Product cycle-component summary.
DenoisedOverlay: A single denoised overlay aligned to the input return window.
DenoisedPriceOverlayConfig: Configuration for MODWT denoised overlay analytics.
DenoisedPriceOverlayResult: MODWT denoised overlay result.
DenoisedTrend: Product trend summary extracted from a smooth/scaling component.
DominantCycleSummary: Dominant cycle selected from standalone IMF summaries.
FinanceApiConfig: Request-level configuration for product finance APIs.
FinanceDiagnostic: Structured diagnostic attached to a finance signal envelope.
FinanceLevelMetadata: Decomposition-level metadata for reduced-level warnings.
FinanceObservationMetadata: Observation counts used to explain finance signal reliability.
FinanceProfile: Versioned product profile for finance signal calculation.
FinanceSignal: Product-facing signal envelope.
FinanceSignalConfigs: Per-signal configuration bundle for compute_requested_signals.
FinanceSignalInputs: Borrowed market-data inputs the dispatcher routes to each signal.
FinanceSignalQuality: Shared quality metadata carried by every finance signal envelope.
HurstSummary: Hurst exponent summary returned by the multifractal signal.
ImfDecompositionConfig: Configuration for standalone EMD/EEMD decomposition analytics.
ImfDecompositionResult: Standalone EMD/EEMD decomposition result.
ImfSummary: Per-IMF product summary. Raw IMF coefficient arrays are intentionally omitted.
IntradaySeasonalityConfig: Causal intraday-seasonality (time-of-day U-shape) de-seasonalization.
JumpClassification: Classification of a single detected jump along the Aubrun et al. (2024) axes.
JumpClassificationConfig: Configuration for classify_jump.
JumpEvent: A consolidated product jump/stress event.
JumpEventConfig: Configuration for productized jump and stress event analytics.
JumpEventResult: Productized jump and stress event result.
JumpEventSignal: EOD Wave Pack jump/stress event slot.
MarketPosture: Composite market posture payload for an EOD Wave Pack.
MarketPostureConfig: Configuration for the market_posture_signal composite.
MarketPostureDriver: Explanation driver used by candidate/dashboard surfaces.
MethodologyMetadata: Methodology metadata attached to finance signal outputs.
MultifractalResult: Result payload of the wavelet leader multifractal signal.
MultifractalSignalConfig: Configuration for the wavelet leader multifractal signal.
MultifractalSpectrumDetail: Optional raw multifractal spectrum detail returned only under DiagnosticsPolicy::Full. Mirrors the upstream MultifractalSpectrum shape but pre-allocated and validated.
MultifractalSpectrumSummary: Multifractal spectrum summary returned in FullSpectrum mode.
NearThresholdConfig: Controls surfacing of sub-threshold coefficient scores on JumpEventResult::near_threshold_scores.
ResidueSummary: Trend/residue summary produced by EMD/EEMD decomposition.
SignalDependencies: Input dependencies a composite signal derives from. required inputs must be present for the composite to compute; optional inputs enrich it when available and are skipped (graceful degradation) when not.
SymbolPriceContext: Required price context for a symbol-level EOD Wave Pack snapshot.
SymbolWaveState: Product-neutral symbol-level EOD Wave Pack snapshot.
TransformSpec: Transform configuration for product-facing finance analytics.
TrendRegimeConfig: Configuration for productized trend, cycle, and regime analytics.
TrendRegimeResult: Productized trend, cycle, and regime result.
VolatilityHorizon: Dominant volatility horizon.
VolatilityScaleComponent: Per-scale volatility contribution for product/API consumption.
VolatilityScaleConfig: Configuration for productized MODWT volatility-scale analytics.
VolatilityScaleProfile: EOD Wave Pack volatility-scale slot.
VolatilityScaleResult: Productized MODWT volatility-scale result.
WaveletAnomalyScoreBand: Per-scale ECOD attribution for the wavelet anomaly score.
WaveletAnomalyScoreConfig: Configuration for the productized multi-scale ECOD wavelet anomaly score.
WaveletAnomalyScoreResult: Productized multi-scale ECOD anomaly score over MODWT detail scales.
WptBandEnergyConfig: Configuration for the productized WPT band-energy fingerprint signal.
WptBandEnergyResult: Productized WPT band-energy result.
WptBandSummary: Per-band summary produced by the WPT band-energy fingerprint signal.

Enums§

BiorthogonalSpec: Supported biorthogonal wavelet names for finance configs.
BoundaryModeSpec: Boundary mode encoded independently from core transform internals.
ComputedSignal: A single computed finance signal in its concrete, typed envelope.
ContinuousWaveletSpec: Continuous wavelet selector for productized CWT analytics. Each variant maps to a ferro_wave::transform analytic-friendly continuous wavelet.
CrossAssetReferenceKind: Cross-asset reference family for coherence contracts.
CwtPaddingMode: CWT boundary-padding mode for the productized phase-coherence signal.
DiagnosticsPolicy: Controls how much transform detail a product response may expose.
EodWavePackComponentRole: Field role inside an EOD Wave Pack contract.
EodWavePackReadiness: Symbol-level readiness for an EOD Wave Pack snapshot.
FinanceEventDetection: Event-detection payload that distinguishes “no event” from unavailable.
FinanceInputCentering: Input centering applied before a transform runs.
FinanceProfileKind: Product profile family for finance analysis.
FinanceSignalKind: Product-facing signal families exposed by the finance boundary.
FinanceSignalStatus: Common status vocabulary for product signal envelopes.
FinanceTransformKind: Transform family selected by a finance profile.
HurstInterpretation: Qualitative interpretation of a Hurst exponent.
ImfCycleConfidence: Confidence bucket for a standalone IMF cycle summary.
ImfMethod: Product-facing empirical mode decomposition method.
JumpDirection: Product-facing jump direction.
JumpReflexivity: Reflexivity class of a jump, from the time-asymmetry of the volatility profile around it (the D₁ direction of Aubrun et al. 2024).
JumpTrendCharacter: Trend/mean-reversion character of a jump, from the signed return profile (the D₂ mean-reversion and D₃ trend directions of Aubrun et al. 2024).
JumpWarningLevel: Product warning level for jump/stress events.
LiquidityWarningLevel: Severity level for the liquidity-warning channel of the multifractal signal. Mapped from the multifractality index (spectrum width); higher index = greater scaling heterogeneity = more severe warning.
MarketPostureConfidence: Product-facing confidence bucket for composite posture.
MarketPostureImpact: Directional contribution of a posture driver.
MarketPostureLabel: Product-facing composite posture label.
MultifractalMode: Output mode for the wavelet leader multifractal signal.
SamplingCadence: Sampling cadence assumed by a finance profile.
TrendDirection: Product-facing trend direction.
TrendQuality: Product-facing trend quality bucket.
TrendRegimeLabel: Product-facing market regime label.
TrendRegimeMethod: Product-facing trend/regime method label.
WaveletSpec: Product-facing wavelet selector.
WptBandSelection: WPT band-selection strategy.

Constants§

DAILY_EOD_PROFILE_VERSION: Default daily EOD methodology profile version.
DEFAULT_EEMD_SEED: Default deterministic EEMD seed used by product-facing finance profiles.
DEFAULT_MULTIFRACTAL_BOOTSTRAP_SEED: Default deterministic bootstrap seed for the multifractal signal.
DEFAULT_MULTIFRACTAL_Q_MAX: Default upper moment bound for FullSpectrum mode.
DEFAULT_MULTIFRACTAL_Q_MIN: Default lower moment bound for FullSpectrum mode.
DEFAULT_MULTIFRACTAL_Q_STEP: Default moment step for FullSpectrum mode.
EOD_WAVE_PACK_VERSION: Current product-neutral EOD Wave Pack contract version.
FINANCE_API_VERSION: Current finance API contract version.
HFT_PROFILE_VERSION: Default high-frequency methodology profile version.
INTRADAY_PROFILE_VERSION: Default intraday methodology profile version.
MAX_MULTIFRACTAL_MOMENTS: Hard cap on the size of the multifractal moment grid. Bounds both the validate-time projected size and the runtime moment_grid construction loop, so a maliciously tiny q_step cannot hang the signal builder. The default daily-EOD grid is 21 moments; 4096 is roughly 200× the default and still well within the array sizes the underlying multifractal_spectrum cascade math handles in tractable time. Pinned pub so downstream callers can compare against it when sizing their own grids.
MAX_PAUL_ORDER: Maximum Paul wavelet order accepted by CwtPhaseCoherenceConfig.
MULTIFRACTAL_CRITICAL_THRESHOLD: Threshold above which the warning promotes to Critical.
MULTIFRACTAL_ELEVATED_THRESHOLD: Threshold above which the warning promotes to Elevated.
MULTIFRACTAL_INDEX_THRESHOLD: Threshold on multifractality_index for the is_multifractal flag in MultifractalSpectrumSummary. Inputs whose index falls below this value are treated as effectively monofractal.
MULTIFRACTAL_WATCH_THRESHOLD: Threshold above which the multifractality index promotes the liquidity warning to Watch.
PORTFOLIO_PROFILE_VERSION: Default portfolio relationship methodology profile version.

Functions§

classify_jump: Classify a detected jump from the return series and the jump’s return index (the return_index of a JumpEvent).
compute_requested_signals: Orchestrate the signals requested by a FinanceApiConfig.
cross_asset_coherence_signal: Compute a productized MODWT cross-asset coherence signal between primary and reference return observations.
cwt_phase_coherence_signal: Compute a productized CWT phase-coherence signal between primary and reference returns.
cwt_spectral_fingerprint_signal: Compute a productized CWT global-wavelet-spectrum (“spectral fingerprint”) signal from a single return series.
denoised_price_overlay_signal: Compute MODWT denoised overlays aligned to return observations.
imf_decomposition_signal: Compute standalone EMD/EEMD decomposition summaries from return observations.
jump_event_signal: Compute a product-facing jump/stress event signal from price observations.
market_posture_signal: Compute a composite market posture from required EOD Wave Pack signals.
multifractal_signal: Build a productized wavelet leader multifractal signal.
trend_regime_signal: Compute a product-facing trend, cycle, and regime signal from return observations.
volatility_scale_signal: Compute a product-facing MODWT volatility-scale signal.
wavelet_anomaly_score_signal: Compute the productized multi-scale ECOD wavelet anomaly score from a single return series, scoring the most recent observation against its trailing per-scale history. See WaveletAnomalyScoreResult for the method + caveats.
wpt_band_energy_signal: Compute the productized WPT band-energy fingerprint signal.