Showcase

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(R) Super Efficient Event Study Code

A highly efficient (>10x speedup) and concise (core part is less than 40 lines) event study R program that replicates WRDS’s SAS version.

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Nailing down the earnings event time to the millisecond

Pin down the earnings event to the millisecond by combining Captial IQ and RavenPack

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How to Parse 10K and 10Q

How to extract items from 10K/Q files

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Transformers (deep learning models) are better at predicting the tail distribution

In a PEAD prediction setting, I found Transformers are better at predicting the tail distribution