Package: sochcontagion 0.1.0

sochcontagion: Scale-Ordered Contagion: Spectral Theory and Tests of Heterogeneous Information Adaptation

A spectral theory of financial contagion under heterogeneous information adaptation, with the estimators and falsifiable tests it implies. Modelling both the source and the receiving market as exponential information filters yields a bi-exponential transmission response whose power spectrum is the product of two Lorentzians; the slower market supplies the binding spectral corner. Projected onto a maximal-overlap discrete wavelet basis (Percival and Walden, 2000, ISBN:9780521685085) this gives a closed-form transfer-entropy-by-scale profile and three predictions (Scale-Ordered Contagion): scale ordering by adaptation speed, shape symmetry across direction, and magnitude asymmetry. The package provides the closed-form spectrum and scale power, a profile-matching estimator that recovers adaptation rates and endogenises the fast/slow classification, the wavelet-quantile directional-gain measure built from the transfer-entropy estimator of Schreiber (2000) <doi:10.1103/PhysRevLett.85.461> with quantile conditioning (Koenker and Bassett, 1978) <doi:10.2307/1913643> and the quantile goodness-of-fit of Koenker and Machado (1999) <doi:10.1080/01621459.1999.10473882>, and the three tests with phase-randomised surrogate (Theiler, Eubank, Longtin, Galdrikian and Farmer, 1992) <doi:10.1016/0167-2789(92)90102-S> and stationary block-bootstrap (Politis and Romano, 1994) <doi:10.1080/01621459.1994.10476870> nulls. Bundled G20 equity returns and replication scripts reproduce the headline results; the package is general-purpose and accommodates user-supplied returns.

Authors:Avishek Bhandari [aut, cre], Ipsita Parida [aut]