Package: sochcontagion
Type: Package
Title: Scale-Ordered Contagion: Spectral Theory and Tests of
        Heterogeneous Information Adaptation
Version: 0.1.0
Date: 2026-06-02
Authors@R: c(
    person(given = "Avishek", family = "Bhandari", role = c("aut","cre"),
           email = "avishekb@iitbbs.ac.in",
           comment = "Indian Institute of Technology Bhubaneswar"),
    person(given = "Ipsita", family = "Parida", role = "aut",
           email = "a23hs09014@iitbbs.ac.in",
           comment = "Indian Institute of Technology Bhubaneswar"))
Description: 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.
License: GPL-3
Encoding: UTF-8
LazyData: true
Depends: R (>= 4.1.0)
Imports: waveslim, quantreg, stats, graphics, grDevices, utils
Suggests: ggplot2, readxl, knitr, rmarkdown, testthat (>= 3.0.0)
VignetteBuilder: knitr
RoxygenNote: 7.3.3
URL: https://github.com/avishekb9/sochcontagion
BugReports: https://github.com/avishekb9/sochcontagion/issues
Config/testthat/edition: 3
Repository: https://avishekb9.r-universe.dev
Date/Publication: 2026-06-03 02:27:43 UTC
RemoteUrl: https://github.com/avishekb9/sochcontagion
RemoteRef: HEAD
RemoteSha: 17bda217680236b1bbe512ae047d28f83132da24
NeedsCompilation: no
Packaged: 2026-07-03 06:49:27 UTC; root
Author: Avishek Bhandari [aut, cre] (Indian Institute of Technology
    Bhubaneswar),
  Ipsita Parida [aut] (Indian Institute of Technology Bhubaneswar)
Maintainer: Avishek Bhandari <avishekb@iitbbs.ac.in>