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.

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

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.

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.

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

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.

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.

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

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.

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