Tidy Finance Blog

Experimental and external contributions based on Tidy Finance with R. Contribute your ideas!

Abstract illustration of a data flow pipeline with arrows and lines moving from financial icons like stock charts, currency symbols, and graphs towards a central tidy data frame. The background features a gradient of deep blues and greens, symbolizing finance and technology. The text ‘tidyfinance 0.4.0’ and a small CRAN logo are prominently displayed, with additional subtle financial icons integrated into the design. Created with DALL-E.

tidyfinance 0.4.0: new data downloads
3 min
Data
R

tidyfinance 0.4.0 is now on CRAN. Discover the new data download options it includes.

Christoph Scheuch, Stefan Voigt, Patrick Weiss
Aug 30, 2024

Two abstract horse silhouettes, depicted with graceful, sweeping brushstrokes, emerge from a misty gray background. The minimalistic strokes capture the essence of movement and speed, evoking a sense of mystery and tranquility reminiscent of Japanese calligraphy. Created with Copilot.

Replicating Gu, Kelly & Xiu (2020)
22 min
R
Replications
Machine learning

A partial replication of the paper Empirical Asset Pricing via Machine Learning using R.

Stefan Voigt
Jun 17, 2024

A winner's podium with three genderless robots celebrating, each holding a trophy. The robots have a sleek, modern design with neutral features. The podium is positioned in a modern office setting with bright colors, contemporary furniture, large windows letting in natural light, and vibrant decor. The first-place robot stands in the center, elevated above the second and third place robots on either side, all expressing joy. Created by DALL-E.

Fast Portfolio Sorts
8 min
R
Portfolio Sorts
data.table

A benchmark of R approaches for efficient portfolio sorts

Christoph Scheuch
Jun 8, 2024

A vibrant outdoor scene under a clear, sunny sky, where a group of workers assemble a futuristic machine. The machine, situated in the center, features a complex design with gears and levers but no visible numbers or text. A colorful line chart representing an interest rate time series floats in the air, created by the machine. The chart consists of smooth, winding lines in various colors against a clear background. The workers are dressed in casual attire, and the landscape includes green grass and a few trees, contributing to the overall cheerful ambiance. Created with DALL-E 3.

CIR Model Calibration using Python
10 min
Interest rates
Python

Routine to calibrate the Cox-Ingersoll-Ross model

Yuri Antonelli
Apr 3, 2024

A split-screen illustration that shows old, worn-out, and faded financial papers, charts, and documents, characterized by a tattered appearance, yellowed by time, and cluttered arrangement, symbolizing traditional and outdated methods of financial management and analysis on the left side This contrast highlights the evolution of financial documentation towards more modern practices on the right side. Created with DALL-E.

CRSP 2.0 Update
6 min
Data
R
Python

The highlights of the recent switch to CRSP 2.0 data

Patrick Weiss, Christoph Scheuch, Stefan Voigt, Christoph Frey
Mar 13, 2024

An image depicting a busy warehouse scene with a single cardboard box on a conveyor belt, labeled 'tidyfinance' and no other text or stickers. In the background, workers in safety vests are sorting and scanning other packages amidst shelves filled with various boxes and logistics equipment, under a well-lit, organized, and efficient atmosphere. Created with DALL-E 3.

tidyfinance 0.1.0
5 min
Data
R

tidyfinance 0.1.0 is now on CRAN. Discover what this release includes.

Christoph Scheuch, Stefan Voigt, Patrick Weiss
Mar 11, 2024

Cartoon of robots and humans trying to make sense of green stock price charts on black background. Created with DALL-E 3.

Tidy Market Microstructure
76 min
Market microstructure
R
data.table

A beginner’s guide to market quality measurement in high-frequency data using R.

Björn Hagströmer, Niklas Landsberg
Jan 4, 2024

A realistic yellow duck standing in front of a large, futuristic database server. The server is tall, with glowing lights and complex wiring, symbolizing advanced technology. The setting is a high-tech data center, with rows of similar servers in the background. The duck is curiously looking at the server, creating a humorous contrast between nature and technology. The lighting is bright, highlighting the duck and the intricate details of the database server. Created with DALL-E 3.

Using DuckDB with WRDS Data
10 min
Data
R

Demonstrate the power of DuckDB and dbplyr with WRDS data.

Ian Gow
Dec 22, 2023

A 3D computer-rendered image of two stylized high rise office buildings, one small building and one large building, both buildings visible in the frame. Created with DALL-E 3.

Comparing Fama-French Three vs Five Factors
7 min
Data
Replications
R

An explanation for the difference in the size factors of Fama and French 3 and 5 factor data

Christoph Scheuch
Oct 2, 2023

A 3D computer-rendered image of a stylized company building on a screen in the middle of a room. Created with DALL-E 2.

Dummy Data for Tidy Finance Readers without Access to WRDS
12 min
Data
R

R code to generate dummy data that can be used to run the code chunks in Tidy Finance with R

Christoph Scheuch
Sep 26, 2023

A 3D computer-rendered image of a stylized bar with the name BOND on a street in the style of New York of the 1960s.

Convert Raw TRACE Data to a Local SQLite Database
37 min
Data
R

An R code that converts TRACE files from FINRA into a SQLite for facilitated analysis and filtering

Kevin Riehl, Lukas Müller
Jun 14, 2023

A 3d rendered image of two stylized AI robots sitting at a round table, immersed in a discussion with a large, abstract, holographic projection of a collaborative filtering algorithm matrix in the middle. Created with DALL-E 3.

Tidy Collaborative Filtering: Building A Stock Recommender
13 min
Recommender System
R

A simple implementation for prototyping multiple collaborative filtering algorithms

Christoph Scheuch
May 22, 2023

Imagine a large, bustling research center. In the center, there's a colossal pile of papers, representing various studies and results. Around this pile, hundreds of researchers of diverse descents and genders are busily submitting their findings. Some are in lab coats, others in business casual attire, reflecting a variety of scientific and academic fields. The scene is a hive of activity, with researchers exchanging notes, discussing their work, and adding their papers to the pile. The background shows a modern research facility with computers, lab equipment, and bookshelves. Created with DALL-E 3.

Non-Standard Errors in Portfolio Sorts
39 min
Replications
R

An all-in-one implementation of non-standard errors in portfolio sorts

Patrick Weiss
May 10, 2023

A 3D computer-rendered image of a historical stock exchange building. Created with DALL-E 3.

Construction of a Historical S&P 500 Total Return Index
8 min
Data
R

An approximation of total returns using Robert Shiller’s stock market data

Christoph Scheuch
Feb 15, 2023

What is Tidy Finance?
5 min
Op-Ed

An op-ed about the motives behind Tidy Finance with R

Christoph Scheuch, Stefan Voigt, Patrick Weiss
Jan 16, 2023

Tidy Finance at Workshops for Ukraine
2 min
Workshops

You can learn Tidy Finance and support Ukraine at the same time

Patrick Weiss
Nov 19, 2022

Tidy Finance at the useR!2022 Conference
1 min
Conferences

Tidy Finance presentation at the gathering supported by the R Foundation

Patrick Weiss
Jun 23, 2022
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