Figure 2
A line graph titled 'Cross-correlation function (CCF) Resilience Score (Rt) vs. Absolute Returns (|rt|)' displays the correlation coefficient on the y-axis and the lag in days on the x-axis. The graph shows a blue line representing the correlation coefficient values over a range of lag days from -30 to 30. A red dashed vertical line at lag k equals -16 indicates the point of most negative correlation. A black arrow points to a red dot at the lowest point on the graph, around lag k equals -16, highlighting the most negative correlation. The graph suggests that structural disorder precedes market volatility, as indicated by the text on the left side of the graph. The correlation coefficient values fluctuate, with notable peaks and troughs, indicating varying degrees of correlation between the resilience score and absolute returns over different lag periods. All values are approximated.Cross-correlation function (CCF) of the resilience score calculated from the rolling Shannon entropy of returns and the absolute returns ||