金融数据分析
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Replicate Brogaard Stock Volatility Decomposition
Produce the stock information content measures introduced by Brogaard et al. (2022, RFS)原创 2023-01-11 21:33:42 · 695 阅读 · 0 评论 -
Theory for the information-based decomposition of stock price
Theoretical techniques in variance decomposition method proposed by Brogaard et al. (2022, RFS)原创 2023-01-11 21:31:41 · 810 阅读 · 0 评论 -
Dig into Estimation of VAR Coefficients, IRFs, and Variance Decomposition in Stata
Manually compute all the major outputs of VAR原创 2023-01-11 21:28:55 · 291 阅读 · 0 评论 -
Touch into the Vector Auto Regression Model
The logics of VAR model原创 2023-01-11 21:26:20 · 596 阅读 · 0 评论 -
Stata 中的向量自回归模型(VAR)
1. 引言在单变量回归中,一个平稳的时间序列 yty_tyt 经常被模型化为 AR 过程:yt=α0+α1yt−1+α2yt−2+⋯+αkyt−k+ϵty_t=\alpha_0+\alpha_1 y_{t-1}+\alpha_2 y_{t-2}+\dots +\alpha_k y_{t-k}+\epsilon_tyt=α0+α1yt−1+α2yt−2+⋯+αkyt−k+ϵ...原创 2018-11-21 12:09:44 · 30825 阅读 · 3 评论 -
Extract Mass Data Via Bloomberg API
Operation Environment Preparation and Data Extracting原创 2022-09-12 05:08:52 · 435 阅读 · 0 评论 -
Seeking Alpha From Market Participants‘ Information Acquisition Actions
Trace information acquisition actions of both retail and institutional investors原创 2022-09-12 05:04:17 · 600 阅读 · 0 评论 -
Utilize Google Search as an Integrated Data Source
A standardized approach for unformatted data collection原创 2022-05-15 19:12:36 · 228 阅读 · 0 评论 -
Collect Daily Level Short Sale Data From FINRA With Low Costs and Low Delay
Affordable and high-quality daily-level short selling data collection原创 2022-05-15 19:09:21 · 267 阅读 · 0 评论 -
Extract High-frequency Data via PC SAS
Request trade and quotes data from WRDS-TAQ database for intra-day event study原创 2021-12-16 05:05:08 · 1135 阅读 · 0 评论 -
爬取华尔街日报的历史数据并翻译
文章目录获取 Cookies获取文章列表网页分析代码文章列表文章年份分布文章主题分布爬取文章内容分析网页爬取文章代码爬取文章样例翻译翻译文章代码翻译文章样例注释参考文献从读论文和写论文的体验来看,传闻证据 (anecdotes) 对论文能不能给人可靠的第一印象有决定性作用。传闻证据到位了,就不会有人追着问一些澄清性问题 (clarification questions),后面论证研究题目的重要性时也会顺利很多 (why care),此外,很多时候传闻证据对作者本人更好地了解研究背景 (institutio原创 2021-06-11 16:05:59 · 3795 阅读 · 2 评论