Chaotic Bayesian Inference: Strange Attractors as Risk Models for Black Swan Events
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arXiv
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| Format: | Preprint |
| Published: |
2025
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| _version_ | 1866911145726574592 |
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| author | Rust, Crystal |
| author_facet | Rust, Crystal |
| contents | We introduce a new risk modeling framework where chaotic attractors shape the geometry of Bayesian inference. By combining heavy-tailed priors with Lorenz and Rossler dynamics, the models naturally generate volatility clustering, fat tails, and extreme events. We compare two complementary approaches: Model A, which emphasizes geometric stability, and Model B, which highlights rare bursts using Fibonacci diagnostics. Together, they provide a dual perspective for systemic risk analysis, linking Black Swan theory to practical tools for stress testing and volatility monitoring. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2509_08183 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Chaotic Bayesian Inference: Strange Attractors as Risk Models for Black Swan Events Rust, Crystal Risk Management Econometrics Statistical Finance Other Statistics es: 37N40, 37D45 (Primary) 62P20, 60G70, 91G70 (Secondary) We introduce a new risk modeling framework where chaotic attractors shape the geometry of Bayesian inference. By combining heavy-tailed priors with Lorenz and Rossler dynamics, the models naturally generate volatility clustering, fat tails, and extreme events. We compare two complementary approaches: Model A, which emphasizes geometric stability, and Model B, which highlights rare bursts using Fibonacci diagnostics. Together, they provide a dual perspective for systemic risk analysis, linking Black Swan theory to practical tools for stress testing and volatility monitoring. |
| title | Chaotic Bayesian Inference: Strange Attractors as Risk Models for Black Swan Events |
| topic | Risk Management Econometrics Statistical Finance Other Statistics es: 37N40, 37D45 (Primary) 62P20, 60G70, 91G70 (Secondary) |
| url | https://arxiv.org/abs/2509.08183 |