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OpenQuant OpenQuant Documentation

util::fast_ewma

Subject

Section titled “Subject”

Market Microstructure, Dependence and Regime Detection

Why This Module Exists

Section titled “Why This Module Exists”

Provides performant smoothing for repeated rolling computations.

Mathematical Foundations

Section titled “Mathematical Foundations”

EWMA

Section titled “EWMA”

mt=αxt+(1−α)mt−1m_t=\alpha x_t + (1-\alpha)m_{t-1}

Smoothing

Section titled “Smoothing”

α=2w+1\alpha=\frac{2}{w+1}

Usage Examples

Section titled “Usage Examples”

Rust

Section titled “Rust”

Compute EWMA vector

Section titled “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);

API Reference

Section titled “API Reference”

Rust API

Section titled “Rust API”
  • ewma

Implementation Notes

Section titled “Implementation Notes”
  • Window length controls responsiveness vs smoothness.
  • Prefer this helper over ad-hoc loops for consistency.