United States Research

Multi-stage overfitting diagnostics for S&P 500 J/K/N winners-only momentum: DSR, disparity, sensitivity, block bootstrap, CSCV/PBO, walk-forward CV, and stress-tested selection.

Comparative allocation study of US equity-only versus US multi-asset portfolios (stocks, bonds, REITs) with hypothesis testing, frontier diagnostics, and interactive risk-adjusted analytics.

Yahoo Finance ETF panel: PCA spectrum, cross-sectional R² vs K, pseudo-OOS folds, ridge diagnostics. JSON from npm run data:shrinking-cross-section.

Institutional portfolio stress laboratory: historical crisis replay, univariate and compound parametric shocks, historical/parametric/Monte Carlo tail risk, Fully Flexible Probability reweighting, forward GARCH simulation, and cross-study tail-risk attribution.

Multi-country EM equity framework: value/quality/risk/stability composite scoring, country–sector neutralization, constrained mean-variance optimization, correlation analytics, quintile monotonicity, and quarterly backtests vs EEM.

Empirical US study of market-wide co-movement: monthly homogeneity index from correlation networks, regime analysis, SPY conditioning, and interactive network graphs.

Multi-asset framework inferring global capital allocation from Yahoo Finance ETFs: eight flow engines, composite scores, regime detection, correlation networks, and flow-based portfolio backtests.

Institutional-style strategic asset allocation across 50+ global ETFs: eight frameworks from 60/40 to risk parity and max Sharpe, with factor attribution, regime splits, Monte Carlo paths, and crisis stress replay.

Market-implied carbon risk: six nested factor models (CAPM through Carhart+BMG) on 30 US stocks with live Ken French factors and XOP−SMOG BMG from yfinance.

Goncharov (2023) replication: CAPM, FF3, and Carhart four-factor OLS on 30 US stocks (2018–2021) with Ken French factors.

Jegadeesh-style IV asset pricing on US stocks: split-sample betas, Dimson adjustment, OLS vs. IV Fama–MacBeth premia (CAPM–FF5) with characteristic controls.

One-year rolling study on a sector-balanced U.S. equity panel: equal weight, min variance, value tilt, and value–momentum blend with full risk and factor analytics.

Multi-asset Monte Carlo paths with GARCH(1,1) volatility, Student-t shocks, and correlated residuals. Default 50/50 S&P 500 and Dow Jones vs realized performance.

ML-enhanced portfolio optimization on a 30-stock US panel: quarterly walk-forward backtests using mean-variance (MVO) with XGBoost return forecasts blended via Black-Litterman, evaluated against SPY with return, risk, and SPY-relative analytics (drawdowns, beta/alpha, VaR/CVaR, tracking error/capture, sector concentration, and ranked signals).

Sun et al. (MIT) optimal rebalancing on S&P 500 GICS sector sleeves — certainty-equivalent tracking error, Bellman partial rebalancing, and Monte Carlo comparison versus calendar and tolerance-band policies.

12-1 momentum on US large caps across semi-annual, quarterly, monthly, and weekly rebalance cadences — turnover, net Sharpe, and implementation efficiency.

Jegadeesh-Titman 12-1 momentum on US large caps: alpha persistence, regime dependence, crash risk, vol-managed overlays, factor decomposition, and ML crash prediction.

Empirical seasonality framework for eleven SPDR GICS sector ETFs vs SPY: calendar-month averages, cyclical vs defensive dispersion, benchmark-relative rotation, and exploratory inference.

Value, Quality, and Momentum on a US large-cap panel with nonlinear spec tests, IC/quintile diagnostics, and return attribution.

Unified factor dashboard: US FF5 and Carhart momentum, multi-asset ETF panel, international sleeve comparison, volatility regimes, risk budgeting, sleeve attribution, SPY research grid, and q-factor extension notes. Refreshed from Ken French + yfinance.

Yield-curve research project built from yfinance market data: Nelson-Siegel fitting, slope/inversion diagnostics, and regime-aware risk context.

US equity sentiment tracker using VADER lexical analysis on financial news headlines. Tracks prices, sentiment scores, and correlations for S&P 500 stocks. Updated daily.

Comprehensive market regime identification across 21 global indices using Gaussian Mixture Models (GMM) and Greedy Gaussian Segmentation (GSS). Detects bull, bear, and transition regimes for adaptive portfolio management.

US large-cap fundamental analytics dashboard with deep cross-sectional ranking, distribution diagnostics, sector structure, risk/return mapping, and multi-factor composite interpretation.

Deep Q-Learning execution agent for slicing large orders under microstructure-style market impact. Compared against TWAP, passive, aggressive, and random baselines.

Research guide to rigorous backtesting, overfitting detection, and data-snooping correction — White's RC, Hansen SPA, PBO, CPCV, DSR, and Monte Carlo validation.

Comprehensive analysis of 14 sequential portfolio allocation strategies on diversified ETF portfolio. Includes momentum-based, reversion-based, and pattern-learning approaches with transaction cost analysis.

Dynamic RRG for US stocks vs S&P 500. JdK RS-Ratio and RS-Momentum with animation.

S&P 500 portfolio construction using K-means clustering on risk/return features (correlation, beta, returns, volatility, Sharpe ratio). Backtested vs index.

Interactive risk–return maps for 71 equity index strategies and 54 options ETF backtests, plus a stop-loss / take-profit sensitivity lab on ^GSPC.

Dynamic clustering with Hierarchical PCA for sector-based equity portfolio management: statistical sign-pattern clusters and K-means on PCA loadings, following Avellaneda and Serur (2020).