Tidy finance with R / Christoph Scheuch, Stefan Voigt, and Patrick Weiss.
| Author/creator | Scheuch, Christoph |
| Other author | Voigt, Stefan (College teacher) |
| Other author | Weiss, Patrick. |
| Format | Electronic |
| Edition | First edition. |
| Publication Info | Boca Raton : CRC Press, 2023. |
| Description | pages cm |
| Supplemental Content | Full text available from Taylor & Francis eBooks |
| Subjects |
| Abstract | "This textbook shows how to bring theoretical concepts from finance and econometrics to the data. Focusing on coding and data analysis with R, we show how to conduct research in empirical finance from scratch. We start by introducing the concepts of tidy data and coding principles using the tidyverse family of R packages. We then provide the code to prepare common open source and proprietary financial data sources (CRSP, Compustat, Mergent FISD, TRACE) and organize them in a database. We reuse these data in all the subsequent chapters, which we keep as self-contained as possible. The empirical applications range from key concepts of empirical asset pricing (beta estimation, portfolio sorts, performance analysis, Fama-French factors) to modeling and machine learning applications (fixed effects estimation, clustering standard errors, difference-in-difference estimators, ridge regression, Lasso, Elastic net, random forests, neural networks) and portfolio optimization techniques"-- Provided by publisher. |
| Bibliography note | Includes bibliographical references and index. |
| Access restriction | Available only to authorized users. |
| Technical details | Mode of access: World Wide Web |
| Genre/form | Electronic books. |
| LCCN | 2022047386 |
| ISBN | 9781032389332 (hardback) |
| ISBN | 9781032389349 (paperback) |
| ISBN | (ebook) |
Availability
| Library | Location | Call Number | Status | Item Actions |
|---|---|---|---|---|
| Electronic Resources | Access Content Online | ✔ Available |