hurst-exponent-dynamics-crisis-prediction

What problem does it solve?

Financial markets exhibit nonlinear dynamics and regime shifts; traditional EMH-based models fail to capture fractal trends and momentum crashes. This skill provides a diagnostic tool to quantify Hurst exponent dynamics and detect impending regime transitions.

Core Features & Use Cases

• Rolling-window Hurst estimation (H > 0.5 fractal trends, H < 0.5 mean-reverting)
• Cascadic wavelet denoising for nonlinearity-robust analysis
• Recurrence Quantification Analysis (RQA) and Multifractal DFA for complexity assessment
• Continuous Wavelet Transform (CWT) heatmaps for crisis detection
• Bootstrap significance testing with 50,000 surrogates to validate EMH violation
• Crisis-signature mapping to momentum crashes and regime shifts
• Trading applications: momentum-crisis early warning, regime-adaptive strategies

Quick Start

Run the full pipeline on your price series to obtain rolling Hurst exponents and crisis signals.