extreme value theory

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Detecting Crashes with Fat-Tail Statistics Detecting Crashes with Fat-Tail Statistics
11 min read Keywords:  fat tails, crash detection, LPPLS, extreme value theory, Taleb, Sornette, bitcoin, finance, rust

We built fatcrash, a Rust+Python toolkit for crash detection using LPPLS, EVT, Hill, and Kappa. Tested on 35 drawdowns across BTC, SPY, Gold, and 54 years of forex. Here’s what works and what doesn’t.