Virtual Seminar
Market Microstructure: The Microstructure Exchange
Derivatives: Virtual Derivatives Workshop
Financial Information: FutFin.Info
Entrepreneurial Finance and Innovation: WEFI
Municipal: Virtual Municipal Finance Workshop
CAFFE: CEPR Advanced Forum in Financial Economics
SaMMF: Search and Matching in Macro and Finance
ABFR Forum: Artificial Intelligence and Big Data in Finance Research
CBER: Crypto and Blockchain Economics Research Forum
Asset Pricing: Virtual Finance Workshop
Corporate Finance: Virtual Finance Seminar
Investment and Portfolio Management: Virtual Asset Management Seminar Series
FinTech: FinTech Workshop
Derivatives: Virtual Derivatives Workshop
Financial Information: FutFin.Info
Entrepreneurial Finance and Innovation: WEFI
Municipal: Virtual Municipal Finance Workshop
CAFFE: CEPR Advanced Forum in Financial Economics
SaMMF: Search and Matching in Macro and Finance
ABFR Forum: Artificial Intelligence and Big Data in Finance Research
CBER: Crypto and Blockchain Economics Research Forum
Asset Pricing: Virtual Finance Workshop
Corporate Finance: Virtual Finance Seminar
Investment and Portfolio Management: Virtual Asset Management Seminar Series
FinTech: FinTech Workshop
Finance conferences
American Finance Association
Western Finance Association
SFS Cavalcade
Financial Intermediation Research Society
European Finance Association
Northern Finance Association
Midwest Finance Association
World Symposium on Investment Research
China International Conference in Finance
Annual Meeting of the Swiss Society for Financial Market Research (SGF Conference)
Paris December Finance Meeting
Financial Management Association
Eastern Finance Association
Econometrica Society Meetings
China International Risk Form
Financial Markets and Corporate Governance Conference
Annual Conference on Asia-Pacific Financial Markets
List of conferences: Seyed Mohammad Kazempour
Western Finance Association
SFS Cavalcade
Financial Intermediation Research Society
European Finance Association
Northern Finance Association
Midwest Finance Association
World Symposium on Investment Research
China International Conference in Finance
Annual Meeting of the Swiss Society for Financial Market Research (SGF Conference)
Paris December Finance Meeting
Financial Management Association
Eastern Finance Association
Econometrica Society Meetings
China International Risk Form
Financial Markets and Corporate Governance Conference
Annual Conference on Asia-Pacific Financial Markets
List of conferences: Seyed Mohammad Kazempour
Data Sources
Equity premium and predictors, Global Factor Premium, and Global Factor
Variance risk premium (monthly), Hao Zhou
Macroeconomic and financial uncertainty, Jurado, Ludvigson and Ng
Cay, Lettau
Aligned investors sentiments, Zhou
Stock market confidence index, Shiller
VIX term structure, Johnson
q-factors, Hou, Xue and Zhang (2015)
Funding liquidity, Chen and Lu (2018)
Realized variance of S&P 500, FTSE, Nikkei, and DAX, 5 minute returns
Chinese High Frequency Data
The U.S. Treasury Yield Curve: 1961 to the Present, Gurkaynak, Sack, and Wright
DTCC Swap Data Repository Real-Time Reporting
The Structure of Economic News, Bybee, Kelly, Manela, and Xiu
International Fama-French Factors
Chinese Fama-French Factors
More Data, Thimme
Patent Data, NBER, PatentsView, KPSS, USPTO, UVA Darden Global Corporate Patent Dataset, DISCERN, Google USPTO
SEC
13F from EDGAR, and Michael Sinkinson
Hedge fund dataset
Equity Risk Factors Toolkit
Robinhood: RobinTrack
Factor portfolio return data by Jensen, Kelly, and Pedersen (2021): Global factor data
Currency portfolios: Hanno Lustig, Zhongjing Lu,
Financial research data description
Geographical risk and trade policy risk
State corporate tax rate and Census CBP: Bradley Setzler
COVID-19 data: Weekly Economic Index (WEI), Real-Time Population Survey (RPS)
Digital history of macroeconomics
Deposit data: deposit beta,
Machine Learning & Quantitative Finance
Community Crime Map
Variance risk premium (monthly), Hao Zhou
Macroeconomic and financial uncertainty, Jurado, Ludvigson and Ng
Cay, Lettau
Aligned investors sentiments, Zhou
Stock market confidence index, Shiller
VIX term structure, Johnson
q-factors, Hou, Xue and Zhang (2015)
Funding liquidity, Chen and Lu (2018)
Realized variance of S&P 500, FTSE, Nikkei, and DAX, 5 minute returns
Chinese High Frequency Data
The U.S. Treasury Yield Curve: 1961 to the Present, Gurkaynak, Sack, and Wright
DTCC Swap Data Repository Real-Time Reporting
The Structure of Economic News, Bybee, Kelly, Manela, and Xiu
International Fama-French Factors
Chinese Fama-French Factors
More Data, Thimme
Patent Data, NBER, PatentsView, KPSS, USPTO, UVA Darden Global Corporate Patent Dataset, DISCERN, Google USPTO
SEC
- Company filings (EDGAR) (Another website)
- SEC Market Information Data (MIDAS)
- SEC ATS Lists
- SEC Exchange Lists
- Market Structure Analytics
- Mutual Fund Prospectus
13F from EDGAR, and Michael Sinkinson
Hedge fund dataset
Equity Risk Factors Toolkit
Robinhood: RobinTrack
Factor portfolio return data by Jensen, Kelly, and Pedersen (2021): Global factor data
Currency portfolios: Hanno Lustig, Zhongjing Lu,
Financial research data description
Geographical risk and trade policy risk
State corporate tax rate and Census CBP: Bradley Setzler
COVID-19 data: Weekly Economic Index (WEI), Real-Time Population Survey (RPS)
Digital history of macroeconomics
Deposit data: deposit beta,
Machine Learning & Quantitative Finance
Community Crime Map
Useful Program
SAS
Note: I modify some of the following programs in my SAS toolbox.
Jeremiah Green: 94 anomalies
Mikhail Simutin
Spreads TAQ:Andrew Y. Chen and Craig W. Holden, Edwin Hu: MTAQ
Daily Realized Volatility from High Frequency data: Based on Zhang, Mykland, and Ait-Sahalia (2005)
Fama-MacBeth with nice output and portfolio analysis: Jay Cao
Fama-French industry classification
Stata
Kai Chen
Stata links
Matlab
Econometrics Toolbox, James P. LeSage
CompEcon Toolbox
GMM, Mike Cliff
SGMM (Simulated GMM)
Machine Learning Methods in Empirical Asset Pricing, Gu, Kelly, and Xiu
Out-of-sample and certainty equivalence, Guofu Zhou
Option-Implied Moments, Grigory Vilkov (Python code is updated in 2020, yet Matlab is in 2014)
Matlab Toolbox for empirical asset pricing, Mihail Velikov
Charles Jones recession shade function
R
RStudio cloud @ WRDS
Python
Quantitative Economics with Python
QuantEcon
Machine learning: DeepLearning Tutorial, Parametric Portfolio Policy
Library of Statistical Techniques (LOST)
Python Books
Applied Tips for Applied Micro RAs
Code and Data for the Social Sciences: A Practitioner’s Guide
The Economist’s Craft: An Introduction to Research, Publishing, and Professional Development
Note: I modify some of the following programs in my SAS toolbox.
Jeremiah Green: 94 anomalies
Mikhail Simutin
Spreads TAQ:Andrew Y. Chen and Craig W. Holden, Edwin Hu: MTAQ
Daily Realized Volatility from High Frequency data: Based on Zhang, Mykland, and Ait-Sahalia (2005)
- Code using Monthly TAQ (1993 -- 2014)
- Code using Daily TAQ (2003 -- 2019, note that 2012/04 is missing.)
- Combine with Vilkov's code (Matlab and Python)
Fama-MacBeth with nice output and portfolio analysis: Jay Cao
Fama-French industry classification
Stata
Kai Chen
Stata links
Matlab
Econometrics Toolbox, James P. LeSage
CompEcon Toolbox
GMM, Mike Cliff
SGMM (Simulated GMM)
Machine Learning Methods in Empirical Asset Pricing, Gu, Kelly, and Xiu
Out-of-sample and certainty equivalence, Guofu Zhou
Option-Implied Moments, Grigory Vilkov (Python code is updated in 2020, yet Matlab is in 2014)
Matlab Toolbox for empirical asset pricing, Mihail Velikov
Charles Jones recession shade function
R
RStudio cloud @ WRDS
Python
Quantitative Economics with Python
QuantEcon
Machine learning: DeepLearning Tutorial, Parametric Portfolio Policy
Library of Statistical Techniques (LOST)
Python Books
Applied Tips for Applied Micro RAs
Code and Data for the Social Sciences: A Practitioner’s Guide
The Economist’s Craft: An Introduction to Research, Publishing, and Professional Development
ETFs
Leveraged ETFs: Direxion
Academic TRACE: FINRA
Bond trading data with quotes: marketAxess
Real-Time Streaming AI Finance Research: AbleMarkets
Bond trading: BondCliQ
Alternative Trading System: ATS list
FTAV's BTC ETF Table
Academic TRACE: FINRA
Bond trading data with quotes: marketAxess
Real-Time Streaming AI Finance Research: AbleMarkets
Bond trading: BondCliQ
Alternative Trading System: ATS list
FTAV's BTC ETF Table
Crypto and Decentralized Finance
Lending platform: CREAM with multiple hacking events
Data provider: Amberdata, Kaiko (CeFi, DeFi, lending, derivatives), Ethereum Blockchain Explorer, LoanScan
News provider: Web3 is Going Just Great, rekt,
Articles: Molly White and Molly White Reading list and FTX Contagion, Yos Riady, wublockchain
Data provider: Amberdata, Kaiko (CeFi, DeFi, lending, derivatives), Ethereum Blockchain Explorer, LoanScan
News provider: Web3 is Going Just Great, rekt,
Articles: Molly White and Molly White Reading list and FTX Contagion, Yos Riady, wublockchain
FinTech
FDIC Survey of Household Use of Banking and Financial Services
FDIC Summary of Deposit
Home Mortgage Disclosure Act (HMDA) database
RateWatch
CRA Data, FFIEC
World Wide Lightning Location Network
U.S. Patent and Trademark Office (USPTO)
Alipay data
U.S. National Bank Balance Sheets
Paycheck Protection Program (PPP)
Financial Education
FDIC Summary of Deposit
Home Mortgage Disclosure Act (HMDA) database
RateWatch
CRA Data, FFIEC
World Wide Lightning Location Network
U.S. Patent and Trademark Office (USPTO)
Alipay data
U.S. National Bank Balance Sheets
Paycheck Protection Program (PPP)
Financial Education
Applied microeconomics methodology
General materials: Asjad Naqvi, Paul Goldsmith-Pinkham, Casual inference, Mixtape, AEA continuing education, Christine Cai
Graph: Map
Graph: Map
