Machine Learning model for SPY market stress detection using 72+ technical indicators
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Mar 25, 2026 - HTML
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market-stress
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End-to-End replication of Schmitt's (2026) Market Stress Probability Index. Implements cross-sectional fragility signal extraction, dynamic stress labeling via volatility quantiles and Lasso-Logit forecasting. Includes Jordà local projections for structural impulse response analysis. Strict real-time discipline & expanding-window training.
python machine-learning reproducible-research scikit-learn pandas logistic-regression quantitative-finance financial-data research-paper statsmodels panel-data risk-management time-series-analysis lasso-regression financial-econometrics probabilistic-forecasting systemic-risk bootstrap-methods market-stress crsp-data
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Feb 15, 2026 - Jupyter Notebook
Institutional-grade early warning system for systemic deleveraging events
python correlation fintech risk-management early-warning-systems systemic-risk financial-risk deleveraging credit-spreads market-stress
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Feb 8, 2026 - Python
Mapping market stress to yield curve regimes using FRED data — co-occurrence structure, stress behavior, and current macro positioning.
python fred macro volatility interest-rates yield-curve economic-data fixed-income streamlit credit-spreads market-stress regime-analysis
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Mar 26, 2026 - Python
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