Funny Sandboxes

github

Small interactive sandboxes built to make tail risk and leverage intuition tangible. Clean demos, zero over-claim.

Toy models for explanation and teaching. Not an identification strategy. Not for trading.
Labs

Endogenous Fat Tails

How diffuse leverage creates heavy-tailed returns through liquidation cascades — with nothing but Gaussian shocks as input. Monte Carlo aggregation, mechanism decomposition, and single path inspection.

fat tails leverage cascades VaR / ES Monte Carlo
Monte Carlo Single Path
Details
  • Liquidation cascade engine with correlated LTV, endogenous drift, optional convex price impact
  • Fan charts, QQ-plots, risk metrics (VaR, ES, tail exceedances)
  • Mechanism decomposition — cascade vs drift contribution to excess kurtosis
  • Dose-response analysis on cascade intensity λ
  • Single path explorer with per-day cascade tracking and event log