orderflow-metrics 0.24.0 → 0.25.0

package/CHANGELOG.md

@@ -4,6 +4,18 @@ The format is based on [Keep a Changelog](https://keepachangelog.com/).
 This project follows [Semantic Versioning](https://semver.org/); pre-1.0 the
 public API may still change between minor versions.
 
+## [0.25.0] - 2026-08-26
+
+### Added
+- Jump-robust realized variance (`robustvol`) — `minRV` and `medRV`, integrated
+  variance estimators built from the minimum / median of neighbouring absolute
+  returns (Andersen, Dobrev & Schaumburg, 2012). Like bipower variation they
+  strip discrete jumps out of realized variance, but more robustly — MedRV also
+  shrugs off isolated zero returns and outliers. Plus `realizedQuarticity`
+  ((n/3)·Σrᵢ⁴, Barndorff-Nielsen & Shephard 2002), the integrated-quarticity
+  estimate that sets the standard error of realized variance and standardises
+  jump tests. Test suite included. (Python: 0.13.0.)
+
 ## [0.24.0] - 2026-08-25
 
 ### Changed

package/dist/index.d.ts

@@ -31,6 +31,7 @@ export type { HurstOptions } from "./hurst.ts";
 export { hurstExponent } from "./hurst.ts";
 export { realizedSkewness, realizedKurtosis } from "./moments.ts";
 export { bipowerVariation, jumpVariation, relativeJumpVariation, } from "./jumps.ts";
+export { minRV, medRV, realizedQuarticity } from "./robustvol.ts";
 export type { Semivariance } from "./semivar.ts";
 export { realizedSemivariance, downsideVarianceRatio, signedJumpVariation, } from "./semivar.ts";
 export { shannonEntropy, normalizedEntropy, signEntropy, } from "./entropy.ts";

package/dist/index.d.ts.map

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package/dist/index.js

@@ -18,6 +18,7 @@ export { parkinsonVolatility, garmanKlassVolatility, rogersSatchellVolatility, y
 export { hurstExponent } from "./hurst.js";
 export { realizedSkewness, realizedKurtosis } from "./moments.js";
 export { bipowerVariation, jumpVariation, relativeJumpVariation, } from "./jumps.js";
+export { minRV, medRV, realizedQuarticity } from "./robustvol.js";
 export { realizedSemivariance, downsideVarianceRatio, signedJumpVariation, } from "./semivar.js";
 export { shannonEntropy, normalizedEntropy, signEntropy, } from "./entropy.js";
 export { Welford, Ewma, EwmaVariance, RollingWindow, } from "./online.js";

package/dist/index.js.map

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package/dist/robustvol.d.ts

@@ -0,0 +1,39 @@
+/**
+ * Jump-robust realized variance and realized quarticity.
+ *
+ * Plain realized variance (RV = Σ rᵢ²) is inflated by discrete jumps. Like
+ * bipower variation, MinRV and MedRV estimate only the *continuous* part of
+ * variance, but using the minimum / median of neighbouring absolute returns —
+ * which is even more robust to jumps (and, for MedRV, to occasional zero
+ * returns and isolated outliers) than the product form of bipower variation.
+ * Andersen, Dobrev & Schaumburg (2012).
+ *
+ *   MinRV = (π/(π−2)) · (n/(n−1)) · Σ min(|rᵢ₋₁|, |rᵢ|)²
+ *   MedRV = (π/(6−4√3+π)) · (n/(n−2)) · Σ med(|rᵢ₋₁|, |rᵢ|, |rᵢ₊₁|)²
+ *
+ * Realized quarticity (RQ = (n/3) · Σ rᵢ⁴) estimates the integrated quarticity
+ * ∫σ⁴ — the quantity that sets the standard error of realized variance and
+ * appears in the denominator of jump tests. Barndorff-Nielsen & Shephard (2002).
+ *
+ * Each function takes a return series and returns a non-negative number.
+ */
+/**
+ * MinRV — jump-robust integrated variance from the squared minimum of adjacent
+ * absolute returns. A single jump inflates one return but is paired with a
+ * smaller neighbour, so `min` discards it. Returns 0 for fewer than two returns.
+ */
+export declare function minRV(returns: readonly number[]): number;
+/**
+ * MedRV — jump-robust integrated variance from the squared median of three
+ * consecutive absolute returns. The median ignores a lone jump *and* a lone
+ * near-zero return, making it the most robust of the three continuous-variance
+ * estimators here. Returns 0 for fewer than three returns.
+ */
+export declare function medRV(returns: readonly number[]): number;
+/**
+ * Realized quarticity: (n/3) · Σ rᵢ⁴, an estimate of the integrated quarticity
+ * ∫σ⁴ used to form the standard error of realized variance and to standardise
+ * jump tests. Returns 0 for an empty series.
+ */
+export declare function realizedQuarticity(returns: readonly number[]): number;
+//# sourceMappingURL=robustvol.d.ts.map

package/dist/robustvol.d.ts.map

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package/dist/robustvol.js

@@ -0,0 +1,79 @@
+/**
+ * Jump-robust realized variance and realized quarticity.
+ *
+ * Plain realized variance (RV = Σ rᵢ²) is inflated by discrete jumps. Like
+ * bipower variation, MinRV and MedRV estimate only the *continuous* part of
+ * variance, but using the minimum / median of neighbouring absolute returns —
+ * which is even more robust to jumps (and, for MedRV, to occasional zero
+ * returns and isolated outliers) than the product form of bipower variation.
+ * Andersen, Dobrev & Schaumburg (2012).
+ *
+ *   MinRV = (π/(π−2)) · (n/(n−1)) · Σ min(|rᵢ₋₁|, |rᵢ|)²
+ *   MedRV = (π/(6−4√3+π)) · (n/(n−2)) · Σ med(|rᵢ₋₁|, |rᵢ|, |rᵢ₊₁|)²
+ *
+ * Realized quarticity (RQ = (n/3) · Σ rᵢ⁴) estimates the integrated quarticity
+ * ∫σ⁴ — the quantity that sets the standard error of realized variance and
+ * appears in the denominator of jump tests. Barndorff-Nielsen & Shephard (2002).
+ *
+ * Each function takes a return series and returns a non-negative number.
+ */
+// π / (π − 2): the MinRV scaling constant (from E[min(|Z₁|,|Z₂|)²], Z ~ N(0,1)).
+const MIN_RV_SCALE = Math.PI / (Math.PI - 2);
+// π / (6 − 4√3 + π): the MedRV scaling constant (from E[med(|Z₁|,|Z₂|,|Z₃|)²]).
+const MED_RV_SCALE = Math.PI / (6 - 4 * Math.sqrt(3) + Math.PI);
+/**
+ * MinRV — jump-robust integrated variance from the squared minimum of adjacent
+ * absolute returns. A single jump inflates one return but is paired with a
+ * smaller neighbour, so `min` discards it. Returns 0 for fewer than two returns.
+ */
+export function minRV(returns) {
+    const n = returns.length;
+    if (n < 2)
+        return 0;
+    let s = 0;
+    for (let i = 1; i < n; i++) {
+        const a = Math.abs(returns[i - 1]);
+        const b = Math.abs(returns[i]);
+        const m = a < b ? a : b;
+        s += m * m;
+    }
+    return MIN_RV_SCALE * (n / (n - 1)) * s;
+}
+/**
+ * MedRV — jump-robust integrated variance from the squared median of three
+ * consecutive absolute returns. The median ignores a lone jump *and* a lone
+ * near-zero return, making it the most robust of the three continuous-variance
+ * estimators here. Returns 0 for fewer than three returns.
+ */
+export function medRV(returns) {
+    const n = returns.length;
+    if (n < 3)
+        return 0;
+    let s = 0;
+    for (let i = 1; i < n - 1; i++) {
+        const a = Math.abs(returns[i - 1]);
+        const b = Math.abs(returns[i]);
+        const c = Math.abs(returns[i + 1]);
+        // median of a, b, c without allocating an array
+        const med = Math.max(Math.min(a, b), Math.min(Math.max(a, b), c));
+        s += med * med;
+    }
+    return MED_RV_SCALE * (n / (n - 2)) * s;
+}
+/**
+ * Realized quarticity: (n/3) · Σ rᵢ⁴, an estimate of the integrated quarticity
+ * ∫σ⁴ used to form the standard error of realized variance and to standardise
+ * jump tests. Returns 0 for an empty series.
+ */
+export function realizedQuarticity(returns) {
+    const n = returns.length;
+    if (n < 1)
+        return 0;
+    let s = 0;
+    for (const r of returns) {
+        const r2 = r * r;
+        s += r2 * r2;
+    }
+    return (n / 3) * s;
+}
+//# sourceMappingURL=robustvol.js.map

package/dist/robustvol.js.map

@@ -0,0 +1 @@
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package/package.json

@@ -1,7 +1,7 @@
 {
   "name": "orderflow-metrics",
-  "version": "0.24.0",
-  "description": "Microstructure metrics in dependency-free TypeScript — OFI, VPIN, information-driven bars, market impact (square-root & Almgren-Chriss), markouts, implementation shortfall, high-low spread estimators (Corwin-Schultz, Abdi-Ranaldo), range-based volatility (Parkinson, Garman-Klass, Rogers-Satchell, Yang-Zhang), Hurst exponent, realized skewness & kurtosis, bipower variation & jump detection, realized semivariance & signed jump variation, order-flow entropy, online/streaming estimators (Welford, EWMA, rolling window), realized covariance/correlation/beta, Kyle's lambda, trade-sign classification, Amihud illiquidity.",
+  "version": "0.25.0",
+  "description": "Microstructure metrics in dependency-free TypeScript — OFI, VPIN, information-driven bars, market impact (square-root & Almgren-Chriss), markouts, implementation shortfall, high-low spread estimators (Corwin-Schultz, Abdi-Ranaldo), range-based volatility (Parkinson, Garman-Klass, Rogers-Satchell, Yang-Zhang), Hurst exponent, realized skewness & kurtosis, bipower variation & jump detection, jump-robust variance (MinRV, MedRV) & realized quarticity, realized semivariance & signed jump variation, order-flow entropy, online/streaming estimators (Welford, EWMA, rolling window), realized covariance/correlation/beta, Kyle's lambda, trade-sign classification, Amihud illiquidity.",
   "type": "module",
   "main": "./dist/index.js",
   "module": "./dist/index.js",

package/src/index.ts

@@ -63,6 +63,7 @@ export {
   jumpVariation,
   relativeJumpVariation,
 } from "./jumps.ts";
+export { minRV, medRV, realizedQuarticity } from "./robustvol.ts";
 export type { Semivariance } from "./semivar.ts";
 export {
   realizedSemivariance,

package/src/robustvol.ts

@@ -0,0 +1,79 @@
+/**
+ * Jump-robust realized variance and realized quarticity.
+ *
+ * Plain realized variance (RV = Σ rᵢ²) is inflated by discrete jumps. Like
+ * bipower variation, MinRV and MedRV estimate only the *continuous* part of
+ * variance, but using the minimum / median of neighbouring absolute returns —
+ * which is even more robust to jumps (and, for MedRV, to occasional zero
+ * returns and isolated outliers) than the product form of bipower variation.
+ * Andersen, Dobrev & Schaumburg (2012).
+ *
+ *   MinRV = (π/(π−2)) · (n/(n−1)) · Σ min(|rᵢ₋₁|, |rᵢ|)²
+ *   MedRV = (π/(6−4√3+π)) · (n/(n−2)) · Σ med(|rᵢ₋₁|, |rᵢ|, |rᵢ₊₁|)²
+ *
+ * Realized quarticity (RQ = (n/3) · Σ rᵢ⁴) estimates the integrated quarticity
+ * ∫σ⁴ — the quantity that sets the standard error of realized variance and
+ * appears in the denominator of jump tests. Barndorff-Nielsen & Shephard (2002).
+ *
+ * Each function takes a return series and returns a non-negative number.
+ */
+
+// π / (π − 2): the MinRV scaling constant (from E[min(|Z₁|,|Z₂|)²], Z ~ N(0,1)).
+const MIN_RV_SCALE = Math.PI / (Math.PI - 2);
+// π / (6 − 4√3 + π): the MedRV scaling constant (from E[med(|Z₁|,|Z₂|,|Z₃|)²]).
+const MED_RV_SCALE = Math.PI / (6 - 4 * Math.sqrt(3) + Math.PI);
+
+/**
+ * MinRV — jump-robust integrated variance from the squared minimum of adjacent
+ * absolute returns. A single jump inflates one return but is paired with a
+ * smaller neighbour, so `min` discards it. Returns 0 for fewer than two returns.
+ */
+export function minRV(returns: readonly number[]): number {
+  const n = returns.length;
+  if (n < 2) return 0;
+  let s = 0;
+  for (let i = 1; i < n; i++) {
+    const a = Math.abs(returns[i - 1]);
+    const b = Math.abs(returns[i]);
+    const m = a < b ? a : b;
+    s += m * m;
+  }
+  return MIN_RV_SCALE * (n / (n - 1)) * s;
+}
+
+/**
+ * MedRV — jump-robust integrated variance from the squared median of three
+ * consecutive absolute returns. The median ignores a lone jump *and* a lone
+ * near-zero return, making it the most robust of the three continuous-variance
+ * estimators here. Returns 0 for fewer than three returns.
+ */
+export function medRV(returns: readonly number[]): number {
+  const n = returns.length;
+  if (n < 3) return 0;
+  let s = 0;
+  for (let i = 1; i < n - 1; i++) {
+    const a = Math.abs(returns[i - 1]);
+    const b = Math.abs(returns[i]);
+    const c = Math.abs(returns[i + 1]);
+    // median of a, b, c without allocating an array
+    const med = Math.max(Math.min(a, b), Math.min(Math.max(a, b), c));
+    s += med * med;
+  }
+  return MED_RV_SCALE * (n / (n - 2)) * s;
+}
+
+/**
+ * Realized quarticity: (n/3) · Σ rᵢ⁴, an estimate of the integrated quarticity
+ * ∫σ⁴ used to form the standard error of realized variance and to standardise
+ * jump tests. Returns 0 for an empty series.
+ */
+export function realizedQuarticity(returns: readonly number[]): number {
+  const n = returns.length;
+  if (n < 1) return 0;
+  let s = 0;
+  for (const r of returns) {
+    const r2 = r * r;
+    s += r2 * r2;
+  }
+  return (n / 3) * s;
+}