{
  "schemaVersion": "1.0.0",
  "immutableId": "work-vce",
  "canonicalSlug": "volatility-cascade-engine",
  "recordType": "research-software",
  "title": "Volatility Cascade Engine",
  "summary": "An independent Python research-software prototype for examining a margin-driven liquidation feedback mechanism in a small synthetic financial system.",
  "startDate": "2026-03",
  "endDate": "2026-07",
  "datePrecision": "month",
  "lifecycleStatus": "completed",
  "artifactMaturity": "working-prototype",
  "verificationStrength": "artifact-supported",
  "role": "Independent designer and implementer",
  "contribution": "Defined the mechanism, implemented and documented the Python baseline, and created 15 synthetic scenarios across six funds and five assets.",
  "collaborators": [],
  "context": "Independent technical and modelling work outside a production trading system.",
  "technologies": [
    "Python",
    "NumPy",
    "pandas",
    "Matplotlib"
  ],
  "methods": [
    "state-transition modelling",
    "synthetic scenarios",
    "sensitivity analysis",
    "explicit assumption tracking"
  ],
  "themes": [
    "market structure",
    "risk",
    "liquidation feedback",
    "research engineering"
  ],
  "outputs": [
    "corrected 0.3.0-rc1 machine-readable evidence",
    "full scenario sweep",
    "method note",
    "limitations record"
  ],
  "evidenceLinks": [
    {
      "label": "Corrected release-candidate evidence (JSON)",
      "href": "/artifacts/vce-record.json",
      "kind": "artifact"
    },
    {
      "label": "Method and assumptions",
      "href": "/work/volatility-cascade-engine/#method",
      "kind": "method"
    },
    {
      "label": "Material limitations",
      "href": "/work/volatility-cascade-engine/#limitations",
      "kind": "provenance"
    }
  ],
  "repositoryReferences": [],
  "publicationReferences": [],
  "limitations": [
    "The model is synthetic and is not calibrated to market data.",
    "It is non-predictive and does not establish real-world causal effects.",
    "The corrected prototype is not a trading platform or production risk engine; superseded early-baseline results are not current evidence.",
    "The 0.3.0-rc1 evidence remains a release candidate; independent human clean-room reproduction and accounting review are pending, and AI-assisted implementation is not independent research review.",
    "Source code is not currently published as a public repository."
  ],
  "provenance": {
    "source": "David Anderle's corrected 0.3.0-rc1 machine-readable artifact set and project record",
    "reviewedOn": "2026-10-05",
    "confidence": "artifact-supported"
  },
  "relationships": [
    "milestone-vce-baseline"
  ],
  "featured": true,
  "homepageOrder": 1,
  "homepageSignal": "Independent synthetic research-software prototype",
  "visibility": "public",
  "indexability": "index",
  "lastReviewed": "2026-10-05",
  "lastModified": "2026-10-05",
  "testFixture": false,
  "structuredDataClassification": "CreativeWork",
  "route": "/work/volatility-cascade-engine/",
  "releaseCandidateEvidence": {
    "artifact": "Volatility Cascade Engine corrected release-candidate evidence",
    "data": "fully synthetic and uncalibrated",
    "date": "2026-07-30",
    "modelSpec": {
      "accounting": {
        "debt_rule": "debt is explicit and reduced only with sale proceeds; it is never recomputed from shrinking assets",
        "identity": "equity = risky_assets + cash - debt",
        "liquidation_rule": "distressed funds sell risky assets pro-rata to target leverage at current prices",
        "price_impact": "new_price = old_price * exp(-impact_coefficient * aggregate_sale_value / market_depth)"
      },
      "assets": [
        "A",
        "B",
        "C",
        "D",
        "E"
      ],
      "convergence_tolerance": 1e-9,
      "data": "synthetic",
      "funds": 6,
      "impact_coefficient": 0.605,
      "market_depth": {
        "A": 360,
        "B": 330,
        "C": 300,
        "D": 285,
        "E": 270
      },
      "max_rounds": 80,
      "shock_profile": {
        "A": 0.918,
        "B": 0.29376,
        "C": 0.12852,
        "D": 0.0459,
        "E": 0
      },
      "status": "release candidate",
      "version": "0.3.0-rc1"
    },
    "originalArtifactChecksums": {
      "amplification-curve.svg": "5b7c33667e937bbfdc83bfb4ba0f61439a370c67878aeab03a423fe3db8efd48",
      "environment.json": "39bb25e6bd7891947dc7fcfd2b2c04a674453b8da3b9e796a72f72845fa96601",
      "loss-curve.svg": "4d566650c797c1d04cbf4a51e34e7d4e3c20712c84fd1359f1024cd7339b9a21",
      "model-spec.json": "dba72224523836cda925f2293dbf59dfc169cd135132c7f8ec3c917aa5d3db3e",
      "portfolio-network.svg": "763dab2cc6b63dbe15717c0f8e471b417d749b7916f04440bbf8291d0046c7d8",
      "reference-result.json": "ecfce96a602079cbd39bb4e855a7e22797a6f7c0170f11f70f8ae4472c002bec",
      "scenario-sweep.csv": "5e33a9b49a5c7f407fb471eca25c480e8a86818df5bfac58b43a2089a3950fc7",
      "sensitivity-grid.json": "df962faf20d6d2c6f406bbf5176920b97fb28909fd13bc6b208aa6a78efa3ef6"
    },
    "referenceResult": {
      "amplification": 2.0393369890370727,
      "baseline_loss": 0.23694475049999986,
      "converged": true,
      "distressed_funds": 6,
      "feedback_enabled": true,
      "final_loss": 0.4832101940528102,
      "final_prices": {
        "A": 64.22597770138938,
        "B": 78.5754042408088,
        "C": 81.4996483692963,
        "D": 84.36544017544975,
        "E": 86.22285343746613
      },
      "final_system_equity": 310.0738835683139,
      "immediate_loss": 0.23694475049999986,
      "initial_system_equity": 600,
      "insolvent_funds": 0,
      "post_shock_equity": 457.8331497000001,
      "rounds": 2,
      "shock": 0.3,
      "stop_reason": "no fund above margin threshold"
    },
    "reviewBoundary": "Independent human clean-room reproduction and accounting review remain pending. AI-assisted implementation does not substitute for independent research review.",
    "scenarioSweep": [
      {
        "amplification": 1,
        "baseline_loss": 0.015796316699999924,
        "converged": true,
        "distressed_funds": 0,
        "final_loss": 0.015796316699999924,
        "insolvent_funds": 0,
        "rounds": 0,
        "shock": 0.02,
        "stop_reason": "no fund above margin threshold"
      },
      {
        "amplification": 1,
        "baseline_loss": 0.03159263339999996,
        "converged": true,
        "distressed_funds": 0,
        "final_loss": 0.03159263339999996,
        "insolvent_funds": 0,
        "rounds": 0,
        "shock": 0.04,
        "stop_reason": "no fund above margin threshold"
      },
      {
        "amplification": 1,
        "baseline_loss": 0.047388950099999994,
        "converged": true,
        "distressed_funds": 0,
        "final_loss": 0.047388950099999994,
        "insolvent_funds": 0,
        "rounds": 0,
        "shock": 0.06,
        "stop_reason": "no fund above margin threshold"
      },
      {
        "amplification": 1,
        "baseline_loss": 0.06318526679999992,
        "converged": true,
        "distressed_funds": 0,
        "final_loss": 0.06318526679999992,
        "insolvent_funds": 0,
        "rounds": 0,
        "shock": 0.08,
        "stop_reason": "no fund above margin threshold"
      },
      {
        "amplification": 1,
        "baseline_loss": 0.07898158349999984,
        "converged": true,
        "distressed_funds": 0,
        "final_loss": 0.07898158349999984,
        "insolvent_funds": 0,
        "rounds": 0,
        "shock": 0.1,
        "stop_reason": "no fund above margin threshold"
      },
      {
        "amplification": 1,
        "baseline_loss": 0.09477790019999988,
        "converged": true,
        "distressed_funds": 0,
        "final_loss": 0.09477790019999988,
        "insolvent_funds": 0,
        "rounds": 0,
        "shock": 0.12,
        "stop_reason": "no fund above margin threshold"
      },
      {
        "amplification": 1,
        "baseline_loss": 0.11057421689999991,
        "converged": true,
        "distressed_funds": 0,
        "final_loss": 0.11057421689999991,
        "insolvent_funds": 0,
        "rounds": 0,
        "shock": 0.14,
        "stop_reason": "no fund above margin threshold"
      },
      {
        "amplification": 1,
        "baseline_loss": 0.12637053360000006,
        "converged": true,
        "distressed_funds": 0,
        "final_loss": 0.12637053360000006,
        "insolvent_funds": 0,
        "rounds": 0,
        "shock": 0.16,
        "stop_reason": "no fund above margin threshold"
      },
      {
        "amplification": 1,
        "baseline_loss": 0.14216685029999965,
        "converged": true,
        "distressed_funds": 0,
        "final_loss": 0.14216685029999965,
        "insolvent_funds": 0,
        "rounds": 0,
        "shock": 0.18,
        "stop_reason": "no fund above margin threshold"
      },
      {
        "amplification": 1,
        "baseline_loss": 0.15796316700000002,
        "converged": true,
        "distressed_funds": 0,
        "final_loss": 0.15796316700000002,
        "insolvent_funds": 0,
        "rounds": 0,
        "shock": 0.2,
        "stop_reason": "no fund above margin threshold"
      },
      {
        "amplification": 1,
        "baseline_loss": 0.17375948370000016,
        "converged": true,
        "distressed_funds": 0,
        "final_loss": 0.17375948370000016,
        "insolvent_funds": 0,
        "rounds": 0,
        "shock": 0.22,
        "stop_reason": "no fund above margin threshold"
      },
      {
        "amplification": 1,
        "baseline_loss": 0.18955580039999986,
        "converged": true,
        "distressed_funds": 0,
        "final_loss": 0.18955580039999986,
        "insolvent_funds": 0,
        "rounds": 0,
        "shock": 0.24,
        "stop_reason": "no fund above margin threshold"
      },
      {
        "amplification": 2.187362988086472,
        "baseline_loss": 0.2053521171,
        "converged": true,
        "distressed_funds": 6,
        "final_loss": 0.44917962046973914,
        "insolvent_funds": 0,
        "rounds": 2,
        "shock": 0.26,
        "stop_reason": "no fund above margin threshold"
      },
      {
        "amplification": 2.131464941491138,
        "baseline_loss": 0.22114843380000004,
        "converged": true,
        "distressed_funds": 6,
        "final_loss": 0.47137013351037393,
        "insolvent_funds": 0,
        "rounds": 2,
        "shock": 0.28,
        "stop_reason": "no fund above margin threshold"
      },
      {
        "amplification": 2.0393369890370727,
        "baseline_loss": 0.23694475049999986,
        "converged": true,
        "distressed_funds": 6,
        "final_loss": 0.4832101940528102,
        "insolvent_funds": 0,
        "rounds": 2,
        "shock": 0.3,
        "stop_reason": "no fund above margin threshold"
      }
    ],
    "schemaVersion": "1.0.0",
    "scopeBoundary": [
      "not a real-market calibration",
      "not a broker margin system",
      "not a crash forecast",
      "not investment advice",
      "not production or regulatory-grade risk software"
    ],
    "status": "release candidate",
    "technicalReport": {
      "publiclyServedInThisCandidate": false,
      "sha256": "5bc112f0f67bc48aac55704716387eb5776396e1b8de4cf03094004d34edeb2e",
      "title": "Volatility Cascade Engine v0.3.0-rc1 - Technical Report"
    },
    "version": "0.3.0-rc1"
  }
}