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rogue-waves

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chirindaopensource / identification_of_the_onset_of_financial_rogue_waves

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End-to-End Python implementation of Hayward et. al's (2026) method for modeling financial volatility as a nonlinear wave system. Extracts VIX/VXO/VSTOXX envelopes via FFT and Hilbert transforms, builds a Schrödinger-type Hamiltonian, and tracks eigenvalue-gradient shifts signaling Anderson localisation ahead of volatility events. 

python reproducible-research signal-processing jupyter-notebook fft quantitative-finance volatility schrodinger-equation risk-management time-series-analysis implied-volatility vix financial-econometrics hilbert-transform econophysics early-warning-system extreme-value-theory anderson-localization eigenvalue-decomposition rogue-waves
  • Updated Jul 4, 2026
  • Jupyter Notebook

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