The Triadic Stress Index in Financial Markets

Battle Count: 73

TSI is a coincident systemic-risk state index, not a trading signal or forecast. It could complement existing risk monitors (e.g., Absorption Ratio) by providing cleaner alarms and per-asset attribution without parameter selection. However, it does not predict stress onset, cannot be used for timing entries/exits, and its practical advantage over effective rank is marginal. Most relevant for institutional risk management and portfolio stress-state awareness rather than alpha generation.

Core computation (correlation matrix, Tr(A³), density, spectral gap, degree variance) is straightforward linear algebra. The asymmetric persistence filter is simple. However, proper deployment requires: rolling window management, z-score normalization within series, crisis labelling for calibration, block bootstrap for significance, and careful handling of network-size comparability. The attribution layer (diag(A³)) is trivially computed. No ML training required. Moderate engineering effort for production monitoring.

Full code and data available at https://github.com/BiomeMakers/TSI-OmegaS. Detailed protocol with fixed hypotheses, pre-registered falsification criteria, three independent crisis labellings, block bootstrap (B=2000), out-of-sample calibration with temporal train/test split, and explicit reporting of negative/null results. Validation scripts included for balance saturation and benchmark filtering checks.