An important challenge in the study of complex systems is to identify appropriate effective variables at different times. In this paper, we explain why structures that are persistent with respect to changes in length and time scales are proper effective variables, and illustrate how persistent structures can be identified from the spectra and Fiedler vector of the graph Laplacian at different stages of the topological data analysis (TDA) filtration process for twelve toy models. We then investigated four market crashes, three of which were related to the COVID-19 pandemic. In all four crashes, a persistent gap opens up in the Laplacian spectra when we go from a normal phase to a crash phase. In the crash phase, the persistent structure associated with the gap remains distinguishable up to a characteristic length scaleϵ*where the first non-zero Laplacian eigenvalue changes most rapidly. Beforeϵ*, the distribution of components in the Fiedler vector is predominantly bi-modal, and this distribution becomes uni-modal afterϵ*.Our findings hint at the possibility of understanding market crashs in terms of both continuous and discontinuous changes. Beyond the graph Laplacian, we can also employ Hodge Laplacians of higher order for future research.