Correlation-Regime Detection and Crisis Attribution

Overview

The correlation-analysis skill answers "how correlated are these assets?" — a snapshot. This skill answers the temporal questions a snapshot cannot:

1. When did the market fuse into one highly-correlated bloc, and when did it release? (Mode 1 — regime detection)
2. What does a fused regime mean for position sizing? (Mode 2 — risk context)
3. Who moved first when a crisis broke — is there a nameable trigger asset? (Mode 3 — first-mover attribution)
4. Who quietly rewired their relationship to the rest of the market, even without a violent move? (Mode 4 — rewiring leaderboard)

The methodology comes from an open-source streaming pipeline (see References) whose public repository pins the regime machinery's math and an eight-event historical replay regression (COVID, May-2021, China ban, Nov-2021 top, LUNA, FTX, SVB, yen-carry — 17 crypto symbols, 1-minute bars) that its CI reproduces bit-for-bit. The finer-grained numbers quoted in this skill — 13 fused/defused regime cycles on the continuous 2020–2024 tape at a ~0.008/day calm false-alarm rate, and zero wrong culprit names across 10 labe…