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Tidy Finance with R cover

Tidy Finance with R

by Christoph Scheuch, Stefan Voigt, Patrick Weiss

1st Edition

Publisher: Chapman and Hall/CRC

(0 reviews)
Investments & Securities

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Book Details

Print ISBN9781032389332
eText ISBN9781000858785
PublisherChapman and Hall/CRC
Publishing Year2023
Edition1st Edition
LanguageEnglish
Pages268

Tidy Finance with R, 1st Edition, is a textbook that connects theoretical concepts from finance and econometrics directly to data. The text introduces empirical finance research from scratch using the R programming language and the tidyverse package ecosystem.

Core coverage examines financial data management, empirical asset pricing, econometric modeling, machine learning, and portfolio optimization. The text explains tidy data principles and demonstrates how to assemble open-source and proprietary datasets into an organized database reused across analytical projects.

Designed for university courses and independent research, the volume provides self-contained workflows that support reproducible empirical investigations. Each chapter includes practice exercises derived from university lectures to assist students and instructors.

Table of Contents

  1. Chapter 1: Introduction to Tidy Finance

  2. Chapter 2: Accessing & Managing Financial Data

  3. Chapter 3: WRDS, CRSP, and Compustat

  4. Chapter 4: TRACE and FISD

  5. Chapter 5: Other Data Providers

  6. Chapter 6: Beta Estimation

  7. Chapter 7: Univariate Portfolio Sorts

  8. Chapter 8: Size Sorts and p-Hacking

  9. Chapter 9: Value and Bivariate Sorts

  10. Chapter 10: Replicating Fama and French Factors

  11. Chapter 11: Fama-MacBeth Regressions

  12. Chapter 12: Fixed Effects and Clustered Standard Errors

  13. Chapter 13: Difference in Differences

  14. Chapter 14: Factor Selection via Machine Learning

  15. Chapter 15: Option Pricing via Machine Learning

  16. Chapter 16: Parametric Portfolio Policies

  17. Chapter 17: Constrained Optimization and Backtesting

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