Code to reproduce paper Adrian, Duarte and Iyer (2023), “The Market Price of Risk and Macro-Financial Dynamics”

World Embedding: a daily 64-dim representation of the aggregate economic state (1985-2021). Drop-in state vector for asset pricing, macro forecasting, regime detection, and event studies.

High-frequency identification of monetary policy surprises and their effects on the yield curve and macroeconomic outcomes.

Technical notebook and figures accompanying the Substack article “When the Curve Speaks.”

Public evidence portfolio for macro-financial research engineering: Python pipelines, real-data ingestion, volatility-regime analysis, ML validation, backtesting logic, and research reporting.

Open reproducible research product on Treasury bill-versus-coupon composition, public duration supply, term premia, and market plumbing. Sourced from FiscalData, FRED, QRA documents, and SEC EDGAR.

Macro-finance regime study: classify U.S. rate/inflation regimes from FRED data and compare equity/bill behavior across regimes (R). Reproducible scripts with tables/figures.

Tokenized Gold / RWA / Digital Gold Standard / Macro Finance / Tokenomics

Market-implied default risk and CDS intuition from corporate bond spreads using FRED data.

Nelson-Siegel yield curve decomposition + probit recession forecasting with real-time out-of-sample validation (zero look-ahead bias), Diebold-Mariano significance testing, and calibration analysis. Live Streamlit dashboard.

Non-linear state-space model and particle filtering framework for detecting latent liquidity stress and modeling systemic risk transitions in global financial markets.

Solving a representative-agent production economy by value function iteration to test the equity premium puzzle — TFP estimation, Rouwenhorst discretization, VFI, and asset-pricing moments in Python.

Personal macroeconomic and market regime research/reports analyzing U.S. economic data, financial markets, and cross-asset relationships using primary economic releases and market data.

Core configurations, vector matrices, and algorithmic frameworks for raufayar.net - Optimizing for the Cyber-Culture and Generative Search Ecosystems.

Empirical macro-finance project on FOMC statement entropy and post-meeting VIX reactions