SCIENTIFIC PAPERS

Research by Dr. Efrat Levy

A curated collection of academic publications on AI, cybersecurity, and market analysis. Select a paper from the carousel to read it in full.

Dr. Efrat Levy

Energy Consumption Between Trigger Points: A Diffusion-Based Index for Anticipating Anomalous Moves in Index Futures

A diffusion-based model quantifies the 'energy' stored when price consolidates between two trigger points, giving four formulations of an energy index (range deficit, survival ratio, confinement surprisal, and compression work) that anticipate the size of the anomalous move once the band breaks. Evaluated on three years of CME Globex data for NQ, ES, RTY and YM under a pre-registered protocol.

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