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Glossary of Empirical Finance

An R code reference for empirical finance, from data exploration to portfolio construction.

Overview

  • Topic: Common scripts used in quantitative finance / financial economics

  • Code: (github)

  • Language: R

  • Intended Audience:

    • Used in some of my daytime MBA classes at KFBS (UNC)
    • No prior knowledge of R is expected
    • Users are expected to have an understanding of asset pricing, asset allocation, and a working knowledge of basic statistics

  • Content:

    • Covers 4 key stages of any empirical project in this field
    1. Explore (data acquisition, cleaning, EDA),
    2. Explain (model development for CAPM, APT, Event Studies, etc..),
    3. Predict (forecasting techniques),
    4. Protect (via portfolio construction and risk measurement)

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