Economy & PolicyExtended setlive in productionNew
Terror Event Airline Drift
Updated dailyData needs: mediumshort onlylong only
paper
2004
Source
Drakos, K. (2004). "Terrorism-induced structural shifts in financial risk: airline stocks in the aftermath of 9/11." European Journal of Political Economy. Also Karolyi-Martell 2010 IRAFIE.
Read the paper →
In plain terms
Terror attack in US/EU → airline/cruise/hotel stocks drop 3-5% over 1-2 weeks.
How it works
Terror events in US/EU last 5d → 3-5% drawdown in airlines/cruises/hotels; mild recovery in P&C.
No live results for this strategy yet. Charts appear once it has earned a top spot on at least one stock, either on its own or as part of a blend of several strategies.
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Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
- Terror events
A data feed this strategy reads, refreshed on its normal schedule.
Expected edge
- Reported return
- -3% to -5%
- Reported Sharpe
- ~0.3
- Tested over
- T+0 to T+10d
-3% to -5% on airlines over 10d.
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
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See which tickers this family is currently firing on, with live signals and rankings.