financial-economics

Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"

Crowd-sourced links for economists, esp. in financial economics with computational interests.

Replication package for 'The Anatomy of a Decentralized Prediction Market: Microstructure Evidence from the Polymarket Order Book.' Eight stylized facts on a pre-registered 600-market panel plus a methodological result: feed-inferred trade direction agrees with on-chain ground truth on ~59% of buckets vs ~80% Lee-Ready on equities.

In this project, I explore various machine learning techniques including Principal Component Analysis (PCA), Support Vector Machines (SVM), Artificial Neural Networks (ANN), and Sentiment Analysis in an effort to predict the directional changes in exchange rates for a list of developed and developing countries.

Eviews Enterprise Econometrics - Local Windows build featuring every professional module and a simple install routine.

Wang Transform pricing model for prediction markets — risk premium decomposition across 291K contracts and 6 platforms

Senior-thesis research on how interest rates and uncertainty affect U.S. bank profitability.

Code for my senior thesis: "The Effect of Payment for Order Flow on Order Routing to Market Centers"

Graduate course materials: Financial Economics (ECON8037) - Australian National University

Machine learning and Financial Economics project predicting SPY ETF movement using sentiment from Trump tweets, major news outlets and technical financial indicators. We combine NLP-based features with market data to train classification models and evaluate out-of-sample strategy returns.

An econometrics study examining whether junk bonds face a discontinuity at the junk-investment threshold, and if they exhibit steeper yield penalties than investment-grade bonds. We use a U.S. corporate bond dataset (n=5000) sourced from a Bloomberg Terminal.

Replication code for "The Shape of Beta: Industry Factor Structure and Crisis Risk Premium" (Woo & Kim, 2026)

End-to-End Python framework reproducing Dolphin et al.'s (2026) grounded event extraction (from SEC 8-K filings) method. Extracts taxonomy-validated, quote-grounded event tags via LLMs, then proves economic significance through variance-standardized abnormal returns (SAR), Kruskal-Wallis tests, and bootstrap variance decomposition over CRSP data.

How primary dealers warehouse Treasury supply. 846-week panel from 5 federal APIs, Jordà local projections, maturity-bucket panel FE.

Construction of an Emerging Market Financial Stress Index (EMFSI) for India using banking, equity, debt, and foreign-exchange market indicators.

End-to-End Python implementation of Markov-Switching VAR framework for detecting endogenous financial fragility. Replicates Delli Gatti et al.'s (2025) methodology using EM algorithm, Hamilton filtering, and HP spectral decomposition to empirically test Minsky's Financial Instability Hypothesis in macroeconomic data.

Reproducible analysis of financial development, political instability and economic growth in Latin America using panel-data methods, regional comparisons and policy-oriented reporting.

This project investigates how exchange-rate movements influence Foreign Portfolio Investment (FPI) flows into India using daily macro-financial data. Multiple econometric techniques were employed to identify both short-run and long-run relationships.

Dynamic asset allocation under financial stress using Value Function Iteration, stochastic optimization, and regime-dependent portfolio decisions.

Empirical replication and out-of-sample extension of Fama & French (2004), 'The Capital Asset Pricing Model: Theory and Evidence'. Flat SML, value/size/momentum, GRS tests, faded post-2003 premiums, and Betting-Against-Beta.