sochcontagion

Scale-Ordered Contagion (SOCH) — 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 this gives a closed-form transfer-entropy-by-scale profile and three predictions:

• SOCH-A scale ordering — slower markets peak at coarser scales;
• SOCH-B shape symmetry — the normalised scale profile is the same in both directions (the sharpest, most novel restriction);
• SOCH-C magnitude asymmetry — direction shows up only in the level.

Installation

# install.packages("remotes")
# remotes::install_github("avishekb9/sochcontagion")
install.packages("sochcontagion", repos = c('https://avishekb9.r-universe.dev', 'https://cloud.r-project.org'))

Quick start

library(sochcontagion)
data(g20_returns); data(market_groups)

## directed wavelet-quantile profile (the verified USA -> India signature)
wqte_profile(g20_returns, "USA", "India", tau = 0.05)
#> rises through d4: the fast-source / slow-receiver signature (SOCH-A)

## the whole empirical programme in one call
adv <- c("USA","UK","Germany","Japan"); emg <- c("China","India","Brazil","SouthAfrica")
res <- soch_pipeline(g20_returns, adv, emg, tau = 0.05)
res$test_ordering$p_value     # SOCH-A
res$market_rates              # recovered adaptation rates + fast/slow class

The closed-form theory is in soch_scale_power() / soch_spectrum(); the profile-matching estimator in soch_fit_pair() / soch_fit_market(); the three tests in soch_test_ordering(), soch_test_symmetry(), soch_test_magnitude(). See vignette("methodology") and vignette("replication").

Citation

Bhandari, A., & Parida, I. (2026). Scale-Ordered Contagion: A Spectral Theory of Heterogeneous Information Adaptation in Financial Networks. Working paper, IIT Bhubaneswar. See citation("sochcontagion").

License

GPL-3 © Avishek Bhandari and Ipsita Parida.