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.

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

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.

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

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.

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

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

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

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