Data & Code

Open Bond Asset Pricing

🚀 NEW: TRACE data processing pipeline. 

🔗Stage 0: now in public beta. 💻 Code: trace-data-pipeline GitHub repository.

• ⚡Process intraday TRACE transaction data, eliminate errors and build a robust daily pricing panel.

• ✅Choose among many filtering choices, from trading volume, bond type to parameters governing error corrections - build your database with filtering that you think is reasonable / defensible.

• Download detailed (>400-page) Enhanced TRACE transaction-level data reports here.

• Download the 144A TRACE transaction-level data report here.

• Detailed documentation on the transaction level price decimal corrector and error eliminator algorithms coming soon. All code publicly available on the GitHub.

• 🔗 Contact alexander.dickerson1@unsw.edu.au for comments/suggestions.

Relative Entropy Stochastic Discount Factors (SDFs)

R Code to extract "information theoretic" SDFs from Asset Pricing Theory. This repository is designed to enable students (and practitioners) to extract "information theoretic" stochastic discount factors (SDFs) from asset pricing theory. The current iteration of the code extracts the SDF using the exponential tilting method of Kitamura and Stutzer (1997). This method is operationalised empirically by Julliard, Ghosh and Taylor (2019) and is augmented with an l1-penalty by Qui and Otsu (2020). The code allows for the l1-penalty.

Cryptocurrency OHLCV and News Data - FinTech Class

Structured OHLCV Data can be downloaded here.

Unstructured News Data can be downloaded here.