About This Dashboard
What It Does
Combines Random Matrix Theory eigenvalue analysis with Ising model magnetization to detect herding behavior. Lambda max tracks correlation clustering; magnetization tracks directional consensus. Composite score is probability-weighted across components.
Today's Reading
Today's crash-detection dashboard shows elevated systemic risk primarily driven by extreme correlation clustering. The lambda_max eigenvalue of 484.15 is exceptionally high, indicating that 165 of 1,735 assets are moving in tight synchronized patterns—a hallmark of herding behavior that amplifies market vulnerability. The RMT ratio of 254.10 confirms this is well beyond normal market conditions, triggering a CRITICAL risk classification for the correlation structure itself. However, the magnetization metric failed to generate a reading (NaN), suggesting directional consensus could not be reliably measured today, which limits the full picture of herding intensity. The composite score of 68.96 reflects this mixed signal: the RMT component scored at maximum (100.0) while the Ising model component only reached 50.0, resulting in an overall ELEVATED status rather than a more severe alert.For educational and informational purposes only. Not financial advice. Past performance does not guarantee future results.
RMT Lambda Max
484.15
vs MP threshold: 1.91 (ratio 254.10x)
Risk Level: CRITICAL Significant eigenvalues: 165
Assets analyzed: 1735
Ising Magnetization
N/A
Insufficient data
Composite Score
69.0 / 100
Overall status: ELEVATED
Weighted blend of 6 components
Component Breakdown
| Component | Raw Score (0-100) | Weight | Contribution |
|---|---|---|---|
| RMT Lambda Max | 100.0 | 35% | 35.00 |
| Ising Magnetization | 50.0 | 20% | 10.00 |
| Market Breadth | 100.0 | 20% | 20.00 |
| VIX | 19.5 | 15% | 2.92 |
| Credit Spreads (HYG/LQD) | 20.8 | 5% | 1.04 |
| Breadth Momentum | 0.0 | 5% | 0.00 |
Total composite score: 68.96 / 100 — Status: ELEVATED