Paper Title: Developing a Neuro-Financial Instability Index for Early Detection of Systemic Risk during Regime shift in Stock Market
Publication Type: Journal Article
Publication Year: 2026
Author(s): Sandeep Bhattacharjee
Journal Name: RIMT International Journal of Multidisciplinary Research (RIJMR)
Volume, Issue: 1, 2
Pagination: 112 – 129
Article: Paper
e-ISSN (Online): 3139-4043
Keywords: Systemic risk, cryptocurrency volatility, regime shifts, behavioral finance, explainable AI.
Attachment
Abstract. In this study, we propose a novel Neuro-Financial Instability Index (NFII) framework to identify and analyze systemic risk indicators in mixed financial markets during the period of April 2023 to March 2025. The NFII framework integrates volatility, sentiment, fear indicators, SHAP analysis, and regime-switching diagnostics to identify high impact stocks. Results of experiments highlight cryptocurrencies (BTC and ETH) as the major drivers of systemic risk rather than S&P 500. Non- linear instability and fat-tailed behavior post-2024 was observed using periodic decomposition whereas SHAP analysis highlighted significant contributions related to behavioral risk. These results support the need for adaptive surveillance systems, interpretable hybrid modeling, and revised diversification strategies using high frequency blockchain analytics and multilayer contagion networks.
How a Cite
Sandeep Bhattacharjee (2026). Developing a Neuro-Financial Instability Index for Early Detection of Systemic Risk during Regime shift in Stock Market. RIMT International Journal of Multidisciplinary Research (RIJMR), 1(2), 96-111.
Copyright & Licensing
© 2026 RIMT University. This is an open-access article distributed under the terms of the Creative Commons Attribution 4.0 International License (CC-BY 4.0). Readers are free to read, download, copy, distribute, print, search, or link to the full texts of this article, provided the original author and source are properly credited.