My research is empirical and revolves around topics in asset management. As an empiricist, I employ data analysis in my investigations into the mutual fund industry. My latest working papers examine:
For my empirical analysis, I predominantly use the Julia Programming Language.
As an empiricist, I believe important (financial) decisions should be based on hard data and facts. Therefore I have created an interface in Julia to access financial data from Yahoo Finance – YFinance.jl. The package allows users to access practically all data displayed by Yahoo Finance easily.
Data items include but are not limited to: Stock, currency, and futures prices, company fundamental data, option chains, ESG ratings, up- and down-grades, analyst ratings, insider transactions, and much more.
This unofficial API is for personal use only, and one should check Yahoo's terms of service before downloading the data.
Excel FilesMV Optimization with 5 Assets
I use a slighly different version of this to illustrate Mean Variance Optimization in one of my session with the Masters in Finance programme.
Some of my students might find it useful to see a more automated version of the sheet used in class, using some simple macros.
This file allows the user to perform a multiple-regression that updates dynamically with changes in the input data by using the linest function.
Some of the students might find this useful, specifically doing their robustness on the impact of different estimation windows in factor regressions.