Data Analysis
A question, a public dataset, the code, and the answer, with every figure reproducible.
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Month-of-year effects in market data, under a false discovery rate
Sixty month-of-year tests on the Nasdaq, Treasuries, oil, gasoline and natural gas: 10 pass at p < 0.05, and a 5% false discovery rate keeps 4, all gasoline.
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An event study around 199 FOMC announcements, honestly scored
Rates, VIX and the Nasdaq in a five-day window around every FOMC statement since 2003, with permutation tests, a multiple-testing correction, and what survives it.
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Correlation instability: rates, equities, and the dollar since 2006
Rolling 126-day correlations between the 10-year yield, equities, and the dollar, with a simulation that separates a real regime change from sampling noise.
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The 10-year minus 2-year spread since 1976: every inversion, dated
Every inversion of the 10-year minus 2-year Treasury spread since the 2-year series began in 1976, with dates, depth, duration, and what followed, from FRED.
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VIX regimes: how often the index closes above 30, by year since 1990
Every calendar year since 1990 with the number of VIX closes above 20, 30, and 40, the yearly maximum and its date, and the longest stretches above 30, from FRED.
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Sahm rule from FRED data: unemployment and recessions since 1960
The Sahm rule recomputed from the unemployment rate in Python and checked against the real-time series and NBER dates, including the 2024 trigger with no recession.
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Mortgage rates and the 10-year Treasury: the spread since 1971
The 30-year fixed mortgage rate minus the 10-year Treasury yield, every survey week since 1971, by decade and year, with the widest and narrowest weeks.
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M2 and inflation since 1960: what the data shows and what it does not
Twelve-month M2 growth against CPI inflation from 1960 to July 2026: lagged correlations by period, the 2021 peak, the 2023 contraction, and the limits.
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Fed funds versus CPI since 1955: the real rate, decade by decade
The effective federal funds rate minus CPI inflation, monthly from 1955 to July 2026, summarised by decade with the longest negative stretches, from FRED.