Software, indices, and live dashboards that implement the lab's quantitative methods. Everything here is open-access and citable; install commands and DOIs are listed per package.
Open-source libraries implementing the lab's quantitative methods
Student-t GJR-GARCH with exogenous regressors in the variance equation
A small, dependency-light Python implementation of the asymmetric GJR-GARCH(1,1,1) volatility model with Student-t innovations and arbitrary exogenous regressors (the X) entering the conditional variance equation. Built for the lab's cryptocurrency event-study pipeline, where infrastructure and regulatory shocks are encoded as exogenous variance covariates and tested for asymmetric volatility response.
pip install gjr-garch-x
Hosted indices and interactive risk dashboards
A composite early-warning index for systemic risk at the DeFi–TradFi boundary
ASRI aggregates four weighted sub-indices — Stablecoin Concentration, DeFi Liquidity, Contagion, and Regulatory Opacity — into a single 0–100 systemic-risk score for cryptocurrency markets. Validated against the Terra/Luna (2022-05), Celsius/3AC (2022-06), FTX (2022-11), and SVB (2023-03) crises, it correctly flagged the February 2025 Bybit hack ($1.5B, the largest exchange theft in history) as non-systemic — ASRI did not spike, because no contagion channels were active. The live dashboard tracks the index, its sub-components, and the HMM risk regime in real time.
These packages are released CC-BY / open-source as the research that produced them is published. If a tool is useful to your work—or broken in an interesting way—we want to hear about it.