Focus: Implementation of machine learning classifiers for regime-based dynamic allocation across offensive and defensive equity factor portfolios, with strict out-of-sample evaluation and transaction cost analysis.
Keywords: Machine Learning • Regime Detection • Factor Investing • Asset Allocation • Volatility Regimes • Transaction Costs
License: Apache 2.0 (note: main repository under MIT)
Focus: Re-examination of 25 accounting-based signals in U.S. equities (1963–2024) using value-weighted portfolios, Fama-French six-factor model, and multiple testing adjustments.
Keywords: Accounting Anomalies • Fundamental Signals • Multiple Testing • Alpha Generation • Fama-French Factors
Focus: Portfolio optimization and risk management using dynamic allocation strategies and Value-at-Risk calculations.
Keywords: Risk Management • Portfolio Theory • VaR • Dynamic Allocation
Focus: Integration of environmental objectives into portfolio optimization frameworks using carbon emission constraints.
Keywords: ESG Investment • Carbon Finance • Sustainable Portfolio • Environmental Economics
Focus: Statistical arbitrage strategies based on cointegration analysis and pairs trading methodologies.
Keywords: Cointegration • Pairs Trading • Statistical Arbitrage • Time Series Analysis
Focus: Causal analysis of Ireland's Finance Act 2015 impact on corporate innovation using difference-in-differences and synthetic control methods.
Keywords: Innovation Economics • Tax Policy • Difference-in-Differences • Synthetic Control
Focus: Empirical assessment of the 2008 Swiss carbon tax implementation on national emission levels.
Keywords: Carbon Tax • Policy Evaluation • Environmental Policy • Causal Inference
Focus: Dynamic Stochastic General Equilibrium (DSGE) modeling, stochastic simulation of economic crises, and analysis of agents' expectation formation.
Keywords: DSGE Modeling • Quantitative Macro • Impulse Response Functions (IRFs) • Markov Chains
Programming: Python • R • Stata • MATLAB
Tools: Jupyter Notebooks • Dynare • Git
Focus: Econometrics • Financial Modeling • Quantitative Analysis
Each project directory contains:
- Complete source code
- Raw and processed data files
- Project-specific documentation
- Reproduction instructions
git clone https://github.com/jeyllani/Projects.git && cd "Projects/[Project Name]"Paper (PDF) and executable code are provided to reproduce results
This repository is organized to support reproducible research:
- Source data is included where licensing permits
- Code is documented and structured for clarity
- Each project provides a concise methodology overview
- Results can be reproduced without external data dependencies when possible