Code, data, and other tools
- I have posted some SAS code to estimate regressions with Fama-Macbeth, clustered standard errors, or fixed effects in SAS. This code complements the Stata code available on Mitchell Petersen's Programming Advice page.
- New patent data: The KPSS patent data (1926-2010) is at iu.box.com/patents.
- SAS code to estimate spreads from daily high and low prices using the method developed by Corwin & Schultz (2011, Journal of Finance). Shane Corwin also has SAS code, sample data sets, and applications on his website.
- SAS code to estimate PIN (as in Easley, Kiefer, O'Hara & Paperman, 1996, Journal of Finance).
- This SAS macro calculates compound returns from CRSP data. You must be on the WRDS Unix server (or a server with similar file structure and access to CRSP data) for this to work.
- This Perl script generates labels for records in a bibtex file. The script takes a .bib file and creates a unique label for each document by looking at the author names, journal, and year. This can be particularly useful if you're using the Active String feature in Winedt.
- F335: Securities Trading and Market Making, Spring 2014. Course web site on Oncourse is available to registered students.
- F625: Empirical Asset Pricing (PhD), Spring 2014. Course web site on Oncourse is available to registered students.
Looking for ways to procrastinate? Not feeling up to working, say, on your dissertation? Try any of these!
- Mathworld has everything you might want to know about math and probability theory. Or you can read all 9,808,358 digits of the largest known Mersenne prime number. When you're done, why not donate your unused computer time to search for more.
- Listen to archived shows of This American Life, the most creative radio program out there.
- Dig into America's past at the National Archives.
- Find out what people are using the internet for.
|"The two greatest inventions of the human mind are writing and money—the common language of intelligence, and the common language of self-interest." —Victor Riqueti, marquis de Mirabeau|