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Achievements

Achievement: Pair ExtraordinaireAchievement: Pull Shark

Achievements

Achievement: Pair ExtraordinaireAchievement: Pull Shark

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  1. Currency-Market-Momentum Currency-Market-Momentum Public

    Replication and extension of "Currency Momentum Strategies" (Menkhoff, Sarno, Schmeling & Schrimpf, 2012) over 2000-2024, using Datastream FX data. Tests momentum against transaction costs, carry, …

    Python

  2. Text-Based-Tariff-Exposure-Pricing-from-Corporate-Filings Text-Based-Tariff-Exposure-Pricing-from-Corporate-Filings Public

    Pricing firm-level tariff exposure in US equities. Builds a text-based exposure measure (TExp) from 10-K filings and tests it via event studies, Fama-MacBeth regressions and decile sorts across tar…

    Python