About Vigil Analytics
The mathematics beneath conflict headlines.
VA Macro: how it works?
Vigil Analytics is a quantitative tool that gauges signals concealed within asset price patterns to detect the aggregated market response to global geopolitical conflicts at any point in time.
Instead of relying on qualitative news headlines, our model looks at the actual behaviour of oil futures, volatility indices, and other commodity markets. These instruments move before and during conflicts in patterns that can be mathematically classified.
Regime classification model
Step 1: Listening to the right signals
We track three composite market signals that historically react to geopolitical conflict:
- • Oil calendar spread — the difference between near-term and future oil prices. When conflict threatens supply, near-term prices spike above future prices (backwardation).
- • OVX/VIX ratio — oil volatility relative to stock market volatility. When this ratio is high, it means energy markets are pricing in more risk than equities.
- • GVZ/VIX ratio — gold volatility relative to stock volatility. Elevated values signal safe-haven demand.
Step 2: Classifying the regime
A Hidden Markov Model (HMM)processes these signals daily. Think of it this way: the market is always in one of four “states” of geopolitical stress, but you can't see the state directly — you can only observe the signals. The HMM works backwards from the signals to figure out which state the market is most likely in right now.
The four states are:
- • S1 — Active Escalation: A major geopolitical shock is unfolding. Markets in crisis mode.
- • S2 — Stalemate: Prolonged tension. Markets adapted to elevated risk.
- • S3 — De-escalation: Tensions easing. Risk premiums unwinding.
- • S4 — Resolution: Conflict resolved. Normal market dynamics.
Step 3: What the model tells you
Every day, the model outputs the probabilitythat the market is in each state. For example: “99.7% chance we're in S1 (Active Escalation)”. It also estimates what state is most likely to come next.
Importantly, the model is causal — it only uses information available up to today. This means you see exactly what the model would have shown you in real-time on any historical date.
How was it trained?
The model was trained on 19 historical episodes of geopolitical conflict, spanning from the Iraq War (2003) through the Russia-Ukraine war (2022) and the Israel-Iran escalation (2025). Both crisis periods and calm periods were included to teach the model the full spectrum of market behaviour.
Training uses an algorithm called Baum-Welch (a form of Expectation-Maximisation) which iteratively finds the most likely model parameters given the observed market data. We run 25 random initialisations and keep the best result to avoid getting stuck in poor solutions.
The number of states (four) was selected using the Bayesian Information Criterion (BIC), which balances model complexity against how well it fits the data.
What about sector signals?
The directional arrows on the sector table are derived from a separate analysis called the Treynor-Mazuy timing test. For each sector ETF, we measure its annualised return relative to the S&P 500 during each regime state across the full history.
If a sector outperformed the S&P 500 by more than 10% annualised during a given state, it is associated with an upward trajectory. If it underperformed by more than 10%, it is associated with a downward trajectory. Everything in between is neutral. These are historical patterns, not predictions.
VA Micro: how it works?
VA Micro is the stock-level analysis module of Vigil Analytics. It provides a search interface for exploring individual equities — currently covering the full S&P 500 universe — with interactive price charts, key financial statistics, and sector context.
Coming soon: an individual stock geopolitical exposure scoring feature. This will use a 5-parameter model to quantify how sensitive each stock is to regime transitions, giving you a personalised conflict exposure score for any holding in your portfolio.
Stay tuned
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Important disclaimer
Vigil Analytics provides analytical output from a quantitative model trained on historical market data. It does not constitute financial advice, investment recommendations, or an offer or solicitation to buy or sell any financial instrument. Past regime behaviour does not guarantee future performance. All investment decisions should be made with appropriate professional guidance and in the context of individual circumstances.