velikov-mihail / AssayingAnomaliesLinks
MATLAB Toolkit that accompanies Novy-Marx and Velikov (2023)
☆43Updated 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.☆19Updated last year
- Code used in Novy-Marx and Velikov (2024), AI-Powered (Finance) Scholarship☆62Updated 2 months ago
- Code to get data from WRDS to PostgreSQL☆51Updated 4 months ago
- ☆52Updated 2 months ago
- Code to quickly process and generate various data from the intraday TRACE corporate bond data from WRDS.☆53Updated last year
- qmoms package to compute option-implied moments from surface data☆25Updated last year
- Replication Code for Identifying Price Informativeness☆13Updated 4 years ago
- This repository includes replication code and raw data used in the construction of the Global Macro Database.☆199Updated 2 weeks ago
- ☆109Updated 4 years ago
- Python modules for time-series analysis and empirical asset pricing.☆18Updated 5 years ago
- Example code of simple things one can do with our open-source asset pricing data☆54Updated last year
- Replication of momentum strategy☆19Updated 3 years ago
- ☆24Updated 8 years ago
- Materials for the mini-course on deep learning and macro-finance.☆22Updated last year
- Code repository for "Machine Learning and the Implementable Efficient Frontier" by Jensen, Kelly, Malamud, and Pedersen (2024)☆20Updated 9 months 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
- Code for Textual Factor Framework in Cong, Liang and Zhang 2019☆18Updated last year
- A database on VC-backed startups from Ewens and Malenko (2025)☆13Updated 10 months ago
- Code for "Methodological Uncertainty in Portfolio Sorts".☆20Updated last year
- Course Website on Macroeconomic Analysis with Machine Learning and Big Data☆132Updated last year
- A collection of macroeconomic models with heterogenous agents written in python and matlab by me.☆103Updated last year
- Calculate U.S. equity (portfolio) characteristics☆105Updated last year
- MD&A sections from 10-Ks; 2002-2018☆38Updated last year
- Economic Impact of Federal Reserve Speeches and Press Releases☆13Updated 6 years ago
- Example code to create firm level risk in Hassan et al. (2020)☆57Updated 3 years ago
- Code for "Is There a Replication Crisis in Finance" by Jensen, Kelly and Pedersen (2023)☆348Updated 9 months ago
- 2018-2019 Quantitative Macroeconomics, UAB☆77Updated 6 years ago
- Modeling Macroeconomics with Deep Reinforcement Learning☆12Updated 6 years ago
- ☆21Updated last year