Yen Carry Trade Unwind Alfred Pit
In plain terms
Research-only causal macro adaptation using exact ALFRED vintages. It is not a paper replication, production signal, or established alpha effect.
How it works
mechanism-motivated adaptation: Brunnermeier-Nagel-Pedersen study currency carry crashes; the JPY/VIX thresholds, equity basket, direction, and holds are internal
Data dependencies
- Alfred series vintages
A data feed this strategy reads, refreshed on its normal schedule.
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
No inherited alpha claim; evaluate this causal adaptation post-cost against legacy and controls.
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
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Explore Yen Carry Trade Unwind Alfred Pit on alphactor.ai
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