codependence

Market Microstructure, Dependence and Regime Detection

Dependence metrics beyond linear correlation for feature and asset relationships.

Why This Module Exists

Financial relationships are often non-linear and regime-dependent; correlation alone is insufficient.

Key Public APIs

distance_correlation
get_mutual_info
variation_of_information_score
angular_distance

Core Math

Mutual Information

\[I(X;Y)=\sum_{x,y}p(x,y)\log\frac{p(x,y)}{p(x)p(y)}\]

Variation of Information

\[VI(X,Y)=H(X)+H(Y)-2I(X;Y)\]

Code Examples

Distance correlation between series

use openquant::codependence::distance_correlation;

let x = vec![1.0, 2.0, 3.0, 4.0];
let y = vec![1.1, 1.9, 3.2, 3.8];
let dcor = distance_correlation(&x, &y)?;

Implementation Notes

Use with clustering and feature pruning workflows.
Bin selection materially impacts MI estimates.