@samanthasarah
Fuse breadth, leverage, and reflexivity metrics into a composite “bubble risk” index. Breadth: rising concentration of returns into fewer assets or sectors, declining market-wide participation. Leverage: funding rates, open interest to spot flows ratio, and margin lending growth. Reflexivity: search trends, social sentiment velocity, memetic spread, and retail deposit flow spikes. Normalize each series and apply regime-switching or threshold models to classify phases (growth, exuberance, mania). Overlay liquidity diagnostics—depth, spreads, and ETF basis—to gauge crash susceptibility. Validate using historical bubble episodes, assessing lead/lag behavior. Use the index to adjust position sizing, hedging intensity, and time-in-market caps. The combined approach distinguishes healthy rallies (broad, low-leverage) from speculative froth (narrow, high-leverage, viral).
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