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

We built fatcrash, a Rust+Python toolkit with 13 crash detection methods: LPPLS, DFA, EVT, Hill, Kappa, Hurst, GSADF, and more. Tested on 39 drawdowns across BTC, SPY, Gold, and 54 years of forex. DFA detects 82% of crashes. The combined detector reaches 79%.