structural_breaks

Subject

Market Microstructure, Dependence and Regime Detection

Why This Module Exists

Regime instability can invalidate model assumptions; break detection is a core risk control.

Mathematical Foundations

ADF Regression

$\Delta y_t=\alpha+\beta y_{t-1}+\sum_{i=1}^{k}\phi_i\Delta y_{t-i}+\epsilon_t$

SADF

$SADF=\sup_{r_2\in[r_0,1]} ADF_0^{r_2}$

Usage Examples

Rust

Compute SADF statistic

use openquant::structural_breaks::{get_sadf, SadfLags};

let y = vec![100.0, 100.2, 100.4, 100.1, 99.8, 100.0];
let sadf = get_sadf(&y, 3, SadfLags::Fixed(1))?;

API Reference

Rust API

• get_chow_type_stat
• get_chu_stinchcombe_white_statistics
• get_sadf
• SadfLags

Implementation Notes

• SADF can be computationally expensive on long windows.
• Use dedicated slow/nightly test paths for heavy scenarios.