util::fast_ewma

Market Microstructure, Dependence and Regime Detection

Fast EWMA primitive shared across feature and volatility routines.

Why This Module Exists

Provides performant smoothing for repeated rolling computations.

Key Public APIs

ewma

Core Math

EWMA

\[m_t=\alpha x_t + (1-\alpha)m_{t-1}\]

Smoothing

\[\alpha=\frac{2}{w+1}\]

Code Examples

Compute EWMA vector

use openquant::util::fast_ewma::ewma;

let x = vec![1.0, 2.0, 3.0, 4.0];
let y = ewma(&x, 3);

Implementation Notes

Window length controls responsiveness vs smoothness.
Prefer this helper over ad-hoc loops for consistency.