Tidy finance With R

By:

Scheuch, Christoph

Contributor(s):

Material type: Text

TextSeries: The R SeriesPublication details: CRC Press Boca Raton 2023Description: xvii, 249 pISBN:

9781032389349

Subject(s):

DDC classification:

332.6 SCH

Summary: 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. Code is provided 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. (https://www.routledge.com/Tidy-Finance-with-R/Scheuch-Voigt-Weiss/p/book/9781032389349?srsltid=AfmBOoroSNESA3pTcTkQmopX2BFJkmbSwPOmhY6fk3hW64HPaxhNf3C4)

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Holdings
Item type	Current library	Collection	Call number	Copy number	Status	Date due	Barcode
Book	Indian Institute of Management LRC General Stacks	Finance & Accounting	332.6 SCH (Browse shelf(Opens below))	1	Available		006539

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. Code is provided 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.

(https://www.routledge.com/Tidy-Finance-with-R/Scheuch-Voigt-Weiss/p/book/9781032389349?srsltid=AfmBOoroSNESA3pTcTkQmopX2BFJkmbSwPOmhY6fk3hW64HPaxhNf3C4)

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