Function _get_gamma

crates/openquant/src/microstructural_features.rs:121–137

(high: &[f64], low: &[f64])

}

fn _get_gamma(high: &[f64], low: &[f64]) -> Vec<f64> {
    let high_max = rolling_max(high, 2);
    let low_min = rolling_min(low, 2);
    high_max
        .iter()
        .zip(low_min.iter())
        .map(
            |(h, l)| {
                if h.is_nan() || l.is_nan() || *l == 0.0 {
                    NAN
                } else {
                    (h / l).ln().powi(2)
                }
            },
        )
        .collect()
}

fn _get_alpha(beta: &[f64], gamma: &[f64]) -> Vec<f64> {
    let den = 3.0 - 2.0 * 2.0_f64.sqrt();