Contagion · Systemic Risk
sri_daily
Systemic Risk Index — daily (KSG-TE network connectivity). Daily systemic-risk index = the MEAN KSG/Frenzel-Pompe transfer entropy across all directed pairs over the most-recent rolling window of the g20 panel (the SAME validated estimator as ksg_te, no surrogates → fast). A system-wide nonlinear information-flow / contagion-intensity proxy (higher = more interconnected = more systemic risk). A CONNECTIVITY index — distinct from the MCPFM validation SRI (the AUC=0.915 crisis-discrimination construct); the two are not conflated. Powers the Phase-30 Systemic Risk Observatory (/api/sri/*).
Identity
version 1.0.0 · capability contagion · min_obs 60 · runner r (sri_daily.R)
Primitives
P3
Composes with
not yet a catalog field — operator-composition metadata lands with Pathway F; nothing is invented here.
Parameters
| name | type | req | values / range |
|---|
| series | series (n=2–18) | optional | |
| window | int | optional | |
| k | int | optional | |
| lag | int | optional | |
| asof | string | optional | |
Returns
method,dataset,date,window,k,lag,n_markets,n_pairs,sri,sri_total,top_edges,runtime_s,interpretation
Paper
none — honest: a substrate method; no single companion paper claims it.
Changelog
[object Object]
Run it
curl -s -X POST https://shssm-compute-b7ui3oxaqq-el.a.run.app/api/compute/run \
-H "Content-Type: application/json" \
-d '{"method":"sri_daily","params":{"series":["India","USA"]}}'