knitr::opts_chunk$set(echo = TRUE)

+------------------------+-----------+------------------------+------------------------------------------------------+---------------+ | Section | Data | Finance | Data Science | Main Dev | +========================+===========+========================+======================================================+===============+ | Visualizing Stock Data | tidyquant | Prices + returns | RStudio + tidyverse | Stefan | +------------------------+-----------+------------------------+------------------------------------------------------+---------------+ | Efficient Frontier | tidyquant | Vola + diversification | group_by + summarise | Stefan | +------------------------+-----------+------------------------+------------------------------------------------------+---------------+ | Outlook & Conventions | - | | Project management, importance of coding conventions | Christoph (?) | +------------------------+-----------+------------------------+------------------------------------------------------+---------------+

+------------------------------+---------------+---------------------------+------------------+-----------------------+ | Section | Data / Access | Finance | Data Science | Main Dev | +==============================+===============+===========================+==================+=======================+ | Downloading Fama-French Data | French | | frenchdata | Christoph | +------------------------------+---------------+---------------------------+------------------+-----------------------+ | Setting-Up a Database | - | - | RSQlite, dbplyr | Christoph | +------------------------------+---------------+---------------------------+------------------+-----------------------+ | Accessing WRDS | WRDS | | odbc, PostgreSQL | Christoph | +------------------------------+---------------+---------------------------+------------------+-----------------------+ | Preparing CRSP | WRDS | CRSP summary | | Christoph | +------------------------------+---------------+---------------------------+------------------+-----------------------+ | Merging CRSP & Compustat | WRDS | Fama-French matching | | Christoph | +------------------------------+---------------+---------------------------+------------------+-----------------------+ | Preparing Compustat | WRDS | Main compustat variables | | Christoph | +------------------------------+---------------+---------------------------+------------------+-----------------------+ | Preparing TRACE | WRDS | Cleaning bond data | tbd | Not for first version | +------------------------------+---------------+---------------------------+------------------+-----------------------+ | Preparing ESG data | ? | ESG efficient portfolios? | tbd | Not for first version | +------------------------------+---------------+---------------------------+------------------+-----------------------+

+--------------------------------+---------------------------+------------------------------+-----------------------------------------------------------+-----------------------+ | Section | Data | Finance | Data Science | Remarks / Main Dev | +================================+===========================+==============================+===========================================================+=======================+ | Beta | CRSP + French | Stock beta | Rolling window estimation; many models (nest); multidplyr | Christoph | +--------------------------------+---------------------------+------------------------------+-----------------------------------------------------------+-----------------------+ | Univariate Portfolio Sorts | CRSP + French | Newey-West SEs | Functions + curly curly + map | Patrick | | | | | | | | | | Different Sorting Approaches | | | | | | | | | | | | Number of Portfolios | | | +--------------------------------+---------------------------+------------------------------+-----------------------------------------------------------+-----------------------+ | Size | CRSP + French | | | Patrick | +--------------------------------+---------------------------+------------------------------+-----------------------------------------------------------+-----------------------+ | Bivariate Portfolio Sorts | CRSP + French + Compustat | | | Patrick | +--------------------------------+---------------------------+------------------------------+-----------------------------------------------------------+-----------------------+ | Value | CRSP + French + Compustat | | | Patrick | +--------------------------------+---------------------------+------------------------------+-----------------------------------------------------------+-----------------------+ | Fama-MacBeth Regressions | CRSP + French | | Functions + many models | Patrick | +--------------------------------+---------------------------+------------------------------+-----------------------------------------------------------+-----------------------+ | The Fama-French 3-Factor Model | CRSP + French + Compustat | | | Patrick | +--------------------------------+---------------------------+------------------------------+-----------------------------------------------------------+-----------------------+ | Conditional Betas | | | | Not for first version | +--------------------------------+---------------------------+------------------------------+-----------------------------------------------------------+-----------------------+ | Profitability | CRSP + French + Compustat | | | Not for first version | +--------------------------------+---------------------------+------------------------------+-----------------------------------------------------------+-----------------------+ | Investment | CRSP + French + Compustat | | | Not for first version | +--------------------------------+---------------------------+------------------------------+-----------------------------------------------------------+-----------------------+ | The Fama-French 5-Factor Model | CRSP + French + Compustat | | | Not for first version | +--------------------------------+---------------------------+------------------------------+-----------------------------------------------------------+-----------------------+ | Q-Factors | Q-Factos + French | | | Not for first version | +--------------------------------+---------------------------+------------------------------+-----------------------------------------------------------+-----------------------+

+-------------------------------------+-------------------------------------+------------------------------------+--------------+-----------------------+ | Section | Data | Finance | Data Science | Remarks / Main Dev | +=====================================+=====================================+====================================+==============+=======================+ | Firm Characteristics vs. Factors | https://dachxiu.chicagobooth.edu/ | Difference to factor models | tidymodels | Not for first version | +-------------------------------------+-------------------------------------+------------------------------------+--------------+-----------------------+ | Shrinkage Estimation | http://www.hec.unil.ch/agoyal/ | Factor selection | tidymodels | Stefan | | | | | | | | | | | glmnet | | +-------------------------------------+-------------------------------------+------------------------------------+--------------+-----------------------+ | Regression Trees and Random Forests | FF Industry | Factor selection | tidymodels | Stefan | | | | | | | | | Goyal-Welch | | | | +-------------------------------------+-------------------------------------+------------------------------------+--------------+-----------------------+ | Neural Networks | Simulations | Option Pricing | keras | Stefan | +-------------------------------------+-------------------------------------+------------------------------------+--------------+-----------------------+ | Alpha Estimation | Simulations | Market timing vs stock selectivity | Manual GMM | Christoph | +-------------------------------------+-------------------------------------+------------------------------------+--------------+-----------------------+ | Text Sentiment | | | | Christoph | +-------------------------------------+-------------------------------------+------------------------------------+--------------+-----------------------+

+---------------------------+------------+-------------------------------------------------+-------------------------------------+----------------------+ | Section | Data | Finance | Data Science | Remarks / Main Dev | +===========================+============+=================================================+=====================================+======================+ | Modern Portfolio Theory | CRSP | Intro to Markowitz | Numerical optimization | Stefan | +---------------------------+------------+-------------------------------------------------+-------------------------------------+----------------------+ | | | Parametric Portfolio Choice: Brandt-Santa Clara | More optimization? | Stefan | +---------------------------+------------+-------------------------------------------------+-------------------------------------+----------------------+ | Covariance Estimation | CRSP | - ARCH / GARCH | rmgarch | Not in first edition | | | | | | | | | | - Ledoit-Wolf Shrinkage | rugarch | | | | | | | | | | | - Multivariate Dynamic Volatility | fable (?) / garchmodels(?) | | +---------------------------+------------+-------------------------------------------------+-------------------------------------+----------------------+ | Transaction Costs | CRSP | | | Stefan | +---------------------------+------------+-------------------------------------------------+-------------------------------------+----------------------+ | Merton's Porfolio Problem | - | Intro to continuous time finance | Intro to reinforcement / Q-learning | Too hard with only R | +---------------------------+------------+-------------------------------------------------+-------------------------------------+----------------------+