velikov-mihail / AssayingAnomaliesLinks
MATLAB Toolkit that accompanies Novy-Marx and Velikov (2023)
☆41Updated 2 years ago
Alternatives and similar repositories for AssayingAnomalies
Users that are interested in AssayingAnomalies are comparing it to the libraries listed below
Sorting:
- Resources for a PhD class module focused on anomalies.☆17Updated last year
- Code to quickly process and generate various data from the intraday TRACE corporate bond data from WRDS.☆52Updated last year
- Code used in Novy-Marx and Velikov (2024), AI-Powered (Finance) Scholarship☆61Updated this week
- Code to get data from WRDS to PostgreSQL☆50Updated 2 months ago
- Code for Textual Factor Framework in Cong, Liang and Zhang 2019☆16Updated last year
- Replication Code for Identifying Price Informativeness☆13Updated 4 years ago
- Example code of simple things one can do with our open-source asset pricing data☆54Updated last year
- qmoms package to compute option-implied moments from surface data☆22Updated last year
- Calculate U.S. equity (portfolio) characteristics☆98Updated last year
- ☆109Updated 3 years ago
- Python modules for time-series analysis and empirical asset pricing.☆18Updated 5 years ago
- ☆51Updated last week
- Empirical Data and Some Simulation Codes☆105Updated 6 years ago
- This repository includes replication code and raw data used in the construction of the Global Macro Database.☆185Updated 3 weeks ago
- This code show the SVAR results from the paper: "Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply …☆27Updated 2 years ago
- Granular instrumental variables, using Gabaix and Koijen paper (2020)☆20Updated 3 years ago
- ☆23Updated 8 years ago
- Code for "Methodological Uncertainty in Portfolio Sorts".☆20Updated last year
- Replication of momentum strategy☆18Updated 3 years ago
- Code repository for "Machine Learning and the Implementable Efficient Frontier" by Jensen, Kelly, Malamud, and Pedersen (2024)☆17Updated 7 months ago
- Calculates 103 firm characteristics from CRSP + Compustat directly in Python – no WRDS SAS cloud☆35Updated 2 years ago
- Code for "Is There a Replication Crisis in Finance" by Jensen, Kelly and Pedersen (2023)☆332Updated 7 months ago
- Accompaniment to nowcasting benchmark paper, illustrating how to estimate each of the methods examined in either R or Python.☆59Updated last year
- 2018-2019 Quantitative Macroeconomics, UAB☆76Updated 6 years ago
- Modeling Macroeconomics with Deep Reinforcement Learning☆12Updated 6 years ago
- Materials for the mini-course on deep learning and macro-finance.☆22Updated last year
- ☆75Updated 2 years ago
- ☆20Updated last year
- Example code to create firm level risk in Hassan et al. (2020)☆56Updated 3 years ago
- Course Website on Macroeconomic Analysis with Machine Learning and Big Data☆129Updated last year