{"id":44587368,"url":"https://github.com/studiofarzulla/asri","last_synced_at":"2026-02-14T06:15:11.777Z","repository":{"id":328392759,"uuid":"1115402658","full_name":"studiofarzulla/asri","owner":"studiofarzulla","description":"Aggregated Systemic Risk Index (ASRI) for Cryptocurrency Markets","archived":false,"fork":false,"pushed_at":"2026-02-05T23:56:27.000Z","size":5165,"stargazers_count":2,"open_issues_count":1,"forks_count":0,"subscribers_count":0,"default_branch":"main","last_synced_at":"2026-02-06T09:32:12.907Z","etag":null,"topics":[],"latest_commit_sha":null,"homepage":"https://asri.dissensus.ai","language":"Python","has_issues":true,"has_wiki":null,"has_pages":null,"mirror_url":null,"source_name":null,"license":"mit","status":null,"scm":"git","pull_requests_enabled":true,"icon_url":"https://github.com/studiofarzulla.png","metadata":{"files":{"readme":"README.md","changelog":null,"contributing":null,"funding":null,"license":"LICENSE","code_of_conduct":null,"threat_model":null,"audit":null,"citation":null,"codeowners":null,"security":null,"support":null,"governance":null,"roadmap":null,"authors":null,"dei":null,"publiccode":null,"codemeta":null,"zenodo":null,"notice":null,"maintainers":null,"copyright":null,"agents":null,"dco":null,"cla":null}},"created_at":"2025-12-12T20:06:39.000Z","updated_at":"2026-02-05T23:49:48.000Z","dependencies_parsed_at":null,"dependency_job_id":null,"html_url":"https://github.com/studiofarzulla/asri","commit_stats":null,"previous_names":["studiofarzulla/asri"],"tags_count":0,"template":false,"template_full_name":null,"purl":"pkg:github/studiofarzulla/asri","repository_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/studiofarzulla%2Fasri","tags_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/studiofarzulla%2Fasri/tags","releases_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/studiofarzulla%2Fasri/releases","manifests_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/studiofarzulla%2Fasri/manifests","owner_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners/studiofarzulla","download_url":"https://codeload.github.com/studiofarzulla/asri/tar.gz/refs/heads/main","sbom_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/studiofarzulla%2Fasri/sbom","scorecard":null,"host":{"name":"GitHub","url":"https://github.com","kind":"github","repositories_count":286080680,"owners_count":29438641,"icon_url":"https://github.com/github.png","version":null,"created_at":"2022-05-30T11:31:42.601Z","updated_at":"2026-02-14T05:24:35.651Z","status":"ssl_error","status_checked_at":"2026-02-14T05:24:34.830Z","response_time":53,"last_error":"SSL_read: unexpected eof while reading","robots_txt_status":"success","robots_txt_updated_at":"2025-07-24T06:49:26.215Z","robots_txt_url":"https://github.com/robots.txt","online":false,"can_crawl_api":true,"host_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub","repositories_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories","repository_names_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repository_names","owners_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners"}},"keywords":[],"created_at":"2026-02-14T06:15:11.122Z","updated_at":"2026-02-14T06:15:11.771Z","avatar_url":"https://github.com/studiofarzulla.png","language":"Python","funding_links":[],"categories":[],"sub_categories":[],"readme":"# ASRI: Aggregated Systemic Risk Index\r\n\r\n**Real-time systemic risk monitoring for cryptocurrency markets**\r\n\r\n[![DOI](https://img.shields.io/badge/DOI-10.5281%2Fzenodo.17918239-blue.svg)](https://doi.org/10.5281/zenodo.17918239)\r\n[![License: CC BY 4.0](https://img.shields.io/badge/License-CC_BY_4.0-lightgrey.svg)](https://creativecommons.org/licenses/by/4.0/)\r\n[![arXiv](https://img.shields.io/badge/arXiv-2602.03874-b31b1b.svg)](https://arxiv.org/abs/2602.03874)\r\n[![Status](https://img.shields.io/badge/Status-arXiv_Preprint-b31b1b.svg)](https://arxiv.org/abs/2602.03874)\r\n\r\n**Working Paper DAI-2509** | [Dissensus AI](https://dissensus.ai) | [Dashboard](https://asri.dissensus.ai)\r\n\r\n## Abstract\r\n\r\nThis paper introduces the Aggregated Systemic Risk Index (ASRI), the first composite measure designed to monitor systemic risks arising from DeFi-TradFi interconnection. ASRI aggregates four sub-indices -- Stablecoin Concentration Risk, DeFi Liquidity Risk, Contagion Risk, and Regulatory Opacity Risk -- into a daily composite score. Validated against four major crypto crises (Terra/Luna, Celsius/3AC, FTX, SVB), event study analysis detects statistically significant abnormal stress for all four events (t-statistics 5.47--32.64, all p \u003c 0.01), with threshold-based detection identifying three of four at an average 30-day lead time. A Hidden Markov Model identifies three risk regimes with persistence exceeding 97%. Out-of-sample testing on 2024--2025 data confirms zero false positives. ASRI captures DeFi-specific vulnerabilities -- composability risk, flash loan exposure, and RWA linkages -- that traditional measures such as SRISK and CoVaR cannot accommodate. An open-source implementation with live dashboard is provided.\r\n\r\n## Key Findings\r\n\r\n| Finding | Result |\r\n|---------|--------|\r\n| Crisis detection | Statistically significant abnormal stress for all 4 major crises (t-stats 5.47--32.64, p \u003c 0.01) |\r\n| Early warning | Threshold-based detection identifies 3/4 crises at ~30-day lead time |\r\n| Regime persistence | HMM identifies 3 risk regimes with \u003e97% persistence |\r\n| Out-of-sample validation | Zero false positives on 2024--2025 holdout data |\r\n| DeFi-specific coverage | Captures composability risk, flash loan exposure, and RWA linkages |\r\n\r\n## Keywords\r\n\r\nsystemic risk, cryptocurrency, decentralized finance, stablecoin stability, contagion risk, DeFi-TradFi interconnection, risk monitoring\r\n\r\n## Architecture\r\n\r\nASRI comprises four weighted sub-indices aggregated into a daily composite score:\r\n\r\n| Sub-Index | Weight | Coverage |\r\n|-----------|--------|----------|\r\n| Stablecoin Concentration Risk | 30% | Peg deviation, dominance, reserve opacity |\r\n| DeFi Liquidity Risk | 25% | TVL drawdowns, protocol concentration, composability |\r\n| Contagion Risk | 25% | Cross-market correlation, exchange flow, cascade metrics |\r\n| Regulatory Opacity Risk | 20% | Classification uncertainty, enforcement patterns |\r\n\r\n### Project Structure\r\n\r\n```\r\nasri/\r\n├── src/asri/\r\n│   ├── api/          # FastAPI endpoints\r\n│   ├── ingestion/    # Data source connectors\r\n│   ├── signals/      # Sub-index calculations\r\n│   └── models/       # Database models\r\n├── tests/            # Test suite\r\n├── scripts/          # Utility scripts\r\n├── config/           # Configuration files\r\n└── docs/             # Documentation\r\n```\r\n\r\n### API Endpoints\r\n\r\n```\r\nGET /asri/current          # Current ASRI value + sub-indices\r\nGET /asri/timeseries       # Historical data\r\nGET /asri/subindex/{name}  # Individual sub-index\r\nGET /asri/stress-test      # Scenario analysis\r\nGET /asri/methodology      # Documentation\r\n```\r\n\r\n### Data Sources\r\n\r\n| Source | Type | Status |\r\n|--------|------|--------|\r\n| DeFi Llama | TVL, volumes | Planned |\r\n| Token Terminal | Protocol metrics | Planned |\r\n| FRED | Macro indicators | Planned |\r\n| Messari | On-chain data | Conditional |\r\n| Chainalysis | Risk reports | Crawler |\r\n\r\n## Getting Started\r\n\r\n```bash\r\n# Clone\r\ngit clone https://github.com/studiofarzulla/asri.git\r\ncd asri\r\n\r\n# Setup environment\r\npython -m venv .venv\r\nsource .venv/bin/activate\r\npip install -e \".[dev]\"\r\n\r\n# Configure\r\ncp .env.example .env\r\n# Edit .env with your API keys\r\n\r\n# Run\r\nuvicorn asri.api.main:app --reload\r\n```\r\n\r\n## Citation\r\n\r\n```bibtex\r\n@article{farzulla2025asri,\r\n  author    = {Farzulla, Murad and Maksakov, Andrew},\r\n  title     = {ASRI: An Aggregated Systemic Risk Index for Cryptocurrency Markets},\r\n  year      = {2025},\r\n  eprint    = {2602.03874},\r\n  archivePrefix = {arXiv},\r\n  primaryClass  = {q-fin.RM},\r\n  doi       = {10.5281/zenodo.17918239}\r\n}\r\n```\r\n\r\n## Authors\r\n\r\n- **Murad Farzulla** -- [Dissensus AI](https://dissensus.ai) \u0026 King's College London\r\n  - ORCID: [0009-0002-7164-8704](https://orcid.org/0009-0002-7164-8704)\r\n  - Email: murad@dissensus.ai\r\n- **Andrew Maksakov** -- [Dissensus AI](https://dissensus.ai)\r\n\r\n## License\r\n\r\nPaper content: [CC-BY-4.0](https://creativecommons.org/licenses/by/4.0/) | Code: [MIT](LICENSE)\r\n","project_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Fstudiofarzulla%2Fasri","html_url":"https://awesome.ecosyste.ms/projects/github.com%2Fstudiofarzulla%2Fasri","lists_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Fstudiofarzulla%2Fasri/lists"}