Quantitative Econometrics
Financial & Macro Distributions
Stochastic modeling of policy rate decisions, treasury term premia, core inflation trajectories, and commodity price volatilities.
Monetary Policy - US Federal Reserve
Next FOMC Meeting
Federal Reserve Cuts Benchmark Fed Funds Rate by 25 bps
Model synthesized from 30-day Fed Funds futures, SOFR curves, and historical Taylor Rule policy adjustments.
Rate Cut (25 bps)
68.2% Probability
Macroeconomic - Inflation
Upcoming BLS Release
US Core PCE Price Index Prints Below 2.6% YoY
Multivariate regression across owner equivalent rent (OER), medical care price indices, and used vehicle wholesale deflation.
Core PCE < 2.6%
74.5% Probability
Energy - Commodity Derivatives
Quarter-End Settlement
Brent Crude Oil Closes Quarter Above $85.00 per Barrel
Monte Carlo simulation based on OPEC+ production quotas, non-OPEC deepwater flows, and global refinery utilization indices.
Brent > $85/bbl
39.4% Probability
Equities - Volatility
Next 30 Days
CBOE Volatility Index (VIX) Sustained Spike Above 22.0
Skew and put/call ratio distribution measuring tail-risk hedging momentum in S&P 500 options contracts.
VIX > 22.0 Session Close
31.8% Probability
Macroeconomic Model Benchmark & Brier Accuracy
| Indicator / Asset Class | Primary Methodology | Sample Points | Brier Score | Historical Calibration |
|---|---|---|---|---|
| FOMC Rate Cuts (25 bps) | Futures Curve + Taylor Rule | 120 Resolutions | 0.114 | 83.9% |
| ECB Policy Rate Changes | Euribor Spread Model | 94 Resolutions | 0.121 | 80.2% |
| US CPI Monthly Headline | Nowcast Bottom-Up Basket | 180 Releases | 0.128 | 79.4% |
| US 10-Year Treasury Yield Spreads | Affine Term Structure Model | 310 Settlements | 0.142 | 76.8% |