{"repo":"mirkovicdev/CRASH-LANDSCAPES","free":true,"listed":false,"github":"https://github.com/mirkovicdev/CRASH-LANDSCAPES","clone":"git clone https://github.com/mirkovicdev/CRASH-LANDSCAPES.git","description":"Topological data analysis of market crashes: persistent homology of four US indices, 1992-2026. The signal measures decoupling, not crash size, and detects rather than predicts.","language":"Jupyter Notebook","stars":11,"topics":["computational-topology","data-science","econophysics","finance","market-crashes","mathematics","persistent-homology","quantitative-finance","reproducible-research","ripser"],"license":"MIT","category":"trading","readme_excerpt":"Topological Data Analysis of Market Crashes A reproduction and out-of-sample extension of Gidea and Katz (2017), Topological Data Analysis of Financial Time Series: Landscapes of Crashes (arXiv:1703.04385), run on four US equity indices from 1992 to 2026. The headline result is a single number per day that spikes at every crash. The point of the project is to ask what that number actually measures, and whether it can predict anything. The honest answers are: it measures decoupling , not volatility or crash size, and no , it does not forecast crashes. It describes, precisely and after the fact, how a market came apart. Method in a paragraph Take four US indices (S&P 500, Dow Jones, NASDAQ, Russell 2000). Each trading day, the four daily log returns form a single point in R^4. A sliding window of 50 trading days is therefore a cloud of 50 points. We build the Vietoris-Rips filtration on that cloud and compute its persistent homology with ripser; the first homology H1 counts loops. Each window's H1 diagram is summarized by the L^p norms of its Bubenik persistence landscape, with the L^1 norm given in closed form by the sum of (death - birth)^2 / 4 over the diagram. That is one number per day. Plotted over 34 years, it spikes at every crash. Key findings - It measures decoupling, not magnitude. The largest spike in the whole record is the dot-com crash, not COVID, even though COVID ran roughly three times the realized volatility (peak about 98% versus 36% annualized). In 2000 the","default_branch":null,"files":null,"tree":[],"storefront":"/r/mirkovicdev","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/mirkovicdev/CRASH-LANDSCAPES/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}