fat tails

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Detecting Crashes with Fat-Tail Statistics Detecting Crashes with Fat-Tail Statistics
37 min read Keywords:  fat tails, crash detection, LPPLS, extreme value theory, DFA, Hurst, Taleb, Sornette, Bouchaud, bitcoin, finance, rust, revenue, profit, momentum, volatility targeting

We built fatcrash, a Rust+Python toolkit with 15 crash detection methods: LPPLS, DFA, EVT, Hill, Kappa, Hurst, GSADF, momentum/reversal, price velocity, and more. Tested on 96 drawdowns across BTC, SPY, Gold, 23 forex pairs, and equity crises with honest precision/recall/F1 metrics. Plus: which methods transfer to revenue and profit data.

Twenty Centuries of Financial Data: What 240 Countries and 2,000 Years Reveal Twenty Centuries of Financial Data: What 240 Countries and 2,000 Years Reveal
23 min read Keywords:  forex, exchange rates, fat tails, gold, silver, interest rates, commodity prices, sovereign debt, volatility, medieval finance, currency crisis, open data

We assembled forex-centuries, an open dataset of exchange rates, gold, silver, interest rates, commodity prices, GDP, sovereign debt, and more — 27 sources spanning 1 CE to 2026, covering 240 countries. Fat tails are universal. Pegged currencies are the most dangerous. Every currency loses against gold.