Who Infected the Market?
Ever wondered which stock took your wallet down the drain?
Looking for someone to blame for your life savings disappearing?
For most, markets are black boxes in which you put your money and pray. But sometimes hope can turn into despair in the blink of an eye. This is why we are seeking to investigate the market under a different lens: what if the market were treated as a complex immune system, where stocks can get sick, transmit deseases and cause financial plagues.
The idea
This project treats financial markets as a living system, where shocks behave like pathogens and risk propagates through a complex network. The state of the system can be evaluated using core indices: correlation, causality between nodes, volatility, market returns, and many other. These measures allow us to obtain the “health state” of a stock, and the immune pressure on the market. The main idea is not to predict, but rather to try to understand the fundamentals of past financial outbreaks.
Research questions
This investigation is guided the following research questions:
How do market shocks propagate? Through which channels do shocks spread, and how do individual stocks and sectors react as the disturbance unfolds?
Can we identify a patient zero? Is it possible to trace major market events back to an initial source, and distinguish between early carriers and super-spreaders?
What happens on a sectorial scale? What are the sectorial trends? Does this tell us more about the market’s immune system?
Does each outbreak have their own immunological signature? What characterizes a crisis? How can we tell two crises apart?
Our objective
We treat each crisis episode as a case file and aim to:
- identify patient zero,
- detect super-spreaders and amplification hubs,
- reconstruct the propagation timeline and dominant transmission paths,
- observe the market under a sectorial lens,
- compare three scenarios: dot-com bubble burst in the beginning of year 2000, subprime crisis in 2008, and COVID-19 in 2020.
Investigation workflow
Our workflow mirrors a real outbreak response:
-
Market segmentation
We scan the full return timeline to detect critical regimes where abnormal market behavior emerges. -
Case isolation
Once a regime is flagged, we isolate it and analyze it as a contained financial outbreak. - Network reconstruction
Inside the outbreak window, we build dynamic interaction networks to identify:- the patient zero using temporal leadership,
- super-spreaders using causality and correlation analysis,
- and dominant propagation paths.
- Sector mapping
We project contagion onto sectors to detect:- critical sectors that amplify contagion,
- and sector-to-sector transmission patterns.
- Comparison between the three time periods
Finally, we look to distinguish the three crises using:
- Principal Component Analysis to identify market signatures,
- and use liquidity traded, weekly returns, volatility and many more.
Welcome to the investigation.
Start with The Story to follow the analysis from the first signal to the full outbreak reconstruction.