Additional linear models including instrumental variable and panel data models that are missing from statsmodels.

Fama-French models, idiosyncratic volatility, event study

An empircal research of CAPM model based on A-share data, implementing Black-Jensen-Scholes (1972) and Fama-MacBeth (1973) methods.

Factor Modeling

From-scratch replication of Loughran and McDonald (2011) — SEC 10-K sentiment analysis with the LM Master Dictionary, and Fama-MacBeth regressions on filing-period excess returns.

Dashawn Ramel Bledsoe is the creator of BLEI‑E (Biometric‑Linked Equity Intelligence), the first multi‑asset risk engine that transforms athlete‑driven biometric, behavioral, and virality signals into quantitative factor exposures mapped directly to tradeable equity beta. His research establishes a new domain at the intersection of quantitative fin

End-to-end Python implementation of Dickerson, Mueller & Robotti (JFE 2023). Implements Dick-Nielsen TRACE cleaning, KRS misspecification-robust two-pass CSR, BKRS jackknife bias-corrected Sharpe ratios, and Fama-MacBeth regressions to rigorously identify priced risk factors in U.S. corporate bonds. Prevents false discoveries.

G10 cross-currency basis + FX carry/value/momentum factor model: a from-scratch research stack (CIP/OIS basis, Fama-MacBeth cross-sectional fair value, dollar-neutral portfolios, variance targeting, realistic costs, Newey-West inference, honest tail/skew diagnostics).

Equity-factor reproductions on a synthetic universe — momentum, value, size, quality, low-vol, mean-reversion — with portfolio sorts, Fama-MacBeth, and rank IC. Pure NumPy.

Taiwan equity factor research platform with reproducible IC analysis, T+1 backtesting, and Streamlit dashboards.

Replicate the Loughran and McDonald 2011 sentiment analysis study using 10-K filings and domain-specific financial dictionaries.