Notice: Function _load_textdomain_just_in_time was called incorrectly. Translation loading for the wp-statistics domain was triggered too early. This is usually an indicator for some code in the plugin or theme running too early. Translations should be loaded at the init action or later. Please see Debugging in WordPress for more information. (This message was added in version 6.7.0.) in /home/quantit1/public_html/wp-includes/functions.php on line 6114
Code & Data – Quantitative Asset Management

Code & Data

CHAPTER 1: CHOOSING YOUR PRODUCT

BOX 1-3: CASE STUDY: INCENTIVES ALIGNMENT MODEL

BOX 1-4: CASE STUDY: “WHAT ARE THE HIDDEN COSTS OF GATES, LOCKUPS, AND SETTLEMENT PERIODS?”

CHAPTER 2: THE INVESTMENT PROCESS

CHAPTER 3: LEADERSHIP AND GOVERNANCE

  • Examples of a business case will appear in my next book. For copyright reasons, it is available only by request.
  • Examples of an investment policy statement will appear in my next book. For copyright reasons, it is available only by request.
  • Examples of investment due diligence will appear in my next book. For copyright reasons, it is available only by request.

CHAPTER 4: ASSET TYPES

BOX 4-1: VXX VS. VIX

FIGURE 4-3: ILLIQUID ASSETS CONSTRAIN OTHER ALLOCATIONS

BOX 4-2: A CRYPTOCURRENCY ARBITRAGE EXAMPLE

CHAPTER 5: FINANCIAL DATA

ORGANIZING FINANCIAL DATA

  • LARGE FILES AND BIG DATA https://www.mathworks.com/help/matlab/large-files-and-big-data.html
  • SPLAYED DATA (CODE)
  • SPLAYED DATA (DESCRIPTION) https://thinqkdb.wordpress.com/splayed-tables/

CAPITAL MARKETS ASSUMPTIONS

  • FIDUCIENT CAPITAL MARKETS ASSUMPTIONS
  • CODE TO CONVERT FIDUCENT CMAS TO OPTIMIZER INPUTS https://www.mathworks.com/matlabcentral/fileexchange/130689-scrape-fiducient-capital-markets-assumptions-and-other-table
  • BLACKROCK CAPITAL MARKETS ASSUMPTIONS https://www.blackrock.com/institutions/en-us/insights/charts/capital-market-assumptions
  • JPMORGAN CAPITAL MARKETS ASSUMPTIONS https://am.jpmorgan.com/us/en/asset-management/institutional/insights/portfolio-insights/ltcma/?gad=1&gclid=Cj0KCQjwj_ajBhCqARIsAA37s0yI3ylON-h7LtUJG-reVtYAdwZXUyanXLrLqo8WNuNANmSgiRcUfLsaAnTdEALw_wcB&gclsrc=aw.ds

ECONOMIC DATA

– NON-ARCHIVAL DATA

  • BLOOMBERG ECONOMIC DATA
  • CAPITIALIQ ECONOMIC DATA
  • REFINITIV ECONOMIC DATA

– ARCHIVAL DATA

  • ALFRED ECONOMIC DATA https://alfred.stlouisfed.org/

BULK AND DESCRIPTIVE DATA

  • MORNINGSTAR DESCRIPTIVE DATA www.morningstar.com (Morningstar access is available in the business library on campus)
  • BLOOMBERG DESCRIPTIVE DATA www.bloomberg.com (Bloomberg terminals are easy to find all over campus)
  • REFINITIV DESCRIPTIVE DATA www.refinitiv.com (Refinitiv terminals can be download on your computer from the Columbia library website).

FUNDAMENTAL DATA

  • BLOOMBERG FUNDAMENTAL DATA www.bloomberg.com
  • PARSE BLOOMBERG PORT HOLDINGS TREND DATA (CODE) https://www.mathworks.com/matlabcentral/fileexchange/132358-parse-bloomberg-port-holdings-trend-report
  • EDGAR FUNDAMENTAL DATA https://www.sec.gov/edgar/search-and-access
  • CRSP/COMPUSTAT MERGED DATABASE – FUNDAMENTALS QUARTERLY https://wrds-www.wharton.upenn.edu/pages/get-data/center-research-security-prices-crsp/annual-update/crspcompustat-merged/fundamentals-quarterly/
  • CRSP/COMPUSTAT MERGED – FUNDAMENTALS ANNUAL https://wrds-www.wharton.upenn.edu/pages/get-data/center-research-security-prices-crsp/quarterly-update/crspcompustat-merged/fundamentals-annual/
  • CRSP/COMPUSTAT FUNDAMENTAL FIELDS

SURVEY DATA

SAMPLING AND SYNTHETIC DATA

  • OVER- AND UNDERSAMPLING (E.G. SMOTE) SCRIPT
  • GIBBS SAMPLER FOR HIGH-FREQUENCY GDP AND PREDICTION

MARKET DATA

  • 3,500 ETF INVESTMENT UNIVERSE
  • BLOOMBERG ADJUSTED PRICES https://www.mathworks.com/matlabcentral/fileexchange/130684-load-adjusted-prices-from-bloomberg
  • BLOOMBERG ADJUSTED PRICES SCRIPT https://www.mathworks.com/matlabcentral/fileexchange/130729-load-large-bloomberg-excel-data-file
  • LOAD LARGE BLOOMBERG EXCEL DATA FILE SCRIPT
  • CRSP ADJUSTED PRICES
  • CRSP ADJUSTED PRICES AND TOTAL RETURNS TO PRICESTT SCRIPT https://www.mathworks.com/matlabcentral/fileexchange/130674-crsp-to-matlab-adjusted-prices-and-total-returns
  • YAHOO! ADJUSTED PRICES
  • YAHOO! ADJUSTED PRICES SCRIPT https://www.mathworks.com/matlabcentral/fileexchange/130679-download-yahoo-adjusted-prices
  • MORNINGSTAR ADJUSTED PRICES
  • MORNINGSTAR ADJUSTED PRICES SCRIPT
  • YCHARTS ADJUSTED PRICES
  • YCHARTS ADJUSTED PRICES SCRIPT

MODEL PORTFOLIO HISTORY

  • 101 ROBOADVISORS
  • PROPRIETARY MODELS
  • MARKET IMPLIED PORTFOLIOS
  • BENCHMARK AND MODEL PERFORMANCE HISTORY
  • ROLLING RETURNS AND YEARLY RETURNS SCRIPT https://www.mathworks.com/matlabcentral/fileexchange/130974-rolling-returns-and-yearly-returns

BENCHMARK HISTORY

  • S&P 500 CONSTITUENT HISTORY
  • MSCI ALL COUNTRY WORLD INDEX (ACWI ) CONSTITUENT HISTORY
  • MSCI ALL COUNTRY WORLD INDEX (ACWI) SECTOR AND GEOGRAPHIC HISTORY
  • PREQIN PRIVATE EQUITY DATA https://wrds-www.wharton.upenn.edu/pages/get-data/preqin/private-equity/
  • PREQIN VENTURE CAPITAL DATA https://wrds-www.wharton.upenn.edu/pages/get-data/preqin/venture-capital/

MISSING DATA

Vector Error Correction  https://www.youtube.com/watch?v=ew4bHzIS4Sw&ab_channel=MATLAB

SAMPLING AND SYNTHETIC DATA

BOX 5-2: USING A GIBBS SAMPLER TO CHANGE FREQUENCY

BOX 5-3: ROLL EXAMPLE

BOX 5-5 CASE STUDY: RIA DATA

  • MTSS-GAN Derek Snow, MTSS-GAN”
  • Time GAN: TimeGAN/tutorial_timegan.ipynb at master ú jsyoon0823/TimeGAN ú GitHub
  • Cholesky Method https://www.mathworks.com/help/finance/portsim.html
  • Monte Carlo with Copulas: https://www.mathworks.com/help/stats/copulas-generate-correlated-samples.html

HIGH FREQUENCY AND BIG DATA

  • NYSE TAQ https://wrds-www.wharton.upenn.edu/pages/get-data/nyse-trade-and-quote/
  • KDB+ 4/5 COLUMN UPLOAD SCRIPT
  • HIGH-FREQUENCY TRANSACTIONS USING DATASTORE, TALL ARRAYS, AND THE KDB+ API”
  • KDB+ WRDS/TAQ UPLOAD SCRIPT

CHAPTER 6: FEATURES

  • SECTOR AND GEOGRAPHIC MAPS
  • INFLATION PROTECTION FEATURES
  • DIVIDEND GROWTH FEATURES
  • QUALITY GROWTH FEATURES
  • ESG FEATURES
  • FIXED INCOME FEATURES
  • TAX-LOSS HARVESTING FEATURES

“PREPROCESSING, MISSING DATA, & OUTLIERS”

  • MISSING AND MINORITY DATA GENERATION USING BORDERLINE SMOTE

FEATURE EXTRACTION

TEMPORAL TRANSFORMATIONS

SYNTHETIC DATA GENERATION

  • TIME-GANN SYNTHETIC FINANCIAL DATA GENERATION FOR MONTE CARLO ANALYSIS

CHAPTER 7: FINANCIAL AND ECONOMIC FACTORS

FEATURE COMPLEXITY AND HIERARCHY

  • FOOTNOTE 4 & FIGURE 7-1: LAYERING MODELS IN AN ECONOMICALLY INTUITIVE HIERARCH

DESCRIPTIVE FEATURES

BLOOMBERG DESCRIPTIVE FEATURES

MORNINGSTAR DESCRIPTIVE FEATURES

ECONOMIC FEATURES

  • FOOTNOTE 8: GIBBS SAMPLER

CROSS-ASSET FEATURES

ASSET AND MARKET FEATURES

  • FOOTNOTE 17: ECONOMIC SURPRISE

ALTERNATIVE FEATURES

EXECUTION FEATURES

FEATURE CONDITIONING AND TIMING

FACTOR EFFICACY

MECHANISTIC TRANSFORMATIONS

CHAPTER 8: CREATING FACTOR FORECASTS

CAPITAL MARKETS ASSUMPTIONS

STRATEGIC FORECASTING

TACTICAL FORECASTING

RISK PREMIA

FIXED INCOME PREMIA

  • FOOTNOTE 13: PAR YIELD CURVE

EQUITY PREMIA

OTHER PREMIA

CHAPTER 9: STRATEGY, OBJECTIVE, & CONDITIONS

REMOVING TIME DEPENDENCE

FIXED HORIZON VERSUS PATH DEPENDENCY

“ALLOCATION, SELECTION, DIRECTION, TIMING, AND QUANTITY”

CHAPTER 10: TIME SERIES & CROSS-SECTIONAL ANALYSIS

  • ECONOMETRICS MODELLER APP https://www.mathworks.com/help/econ/econometric-modeler-overview.html
  • REGRESSION LEARNER APP https://www.mathworks.com/help/stats/regression-learner-app.html
  • CLASSIFICATION LEARNER APP https://www.mathworks.com/help/stats/classificationlearner-app.html
  • DEEP NETWORK DESIGNER APP https://www.mathworks.com/help/deeplearning/deep-network-designer-app.html
  • REINFORCEMENT LEARNING DESIGNER APP https://www.mathworks.com/help/reinforcement-learning/ug/design-dqn-using-rl-designer.html

CHAPTER 11: ALPHA AND RISK MODELS

CHAPTER 12: ASSET ALLOCATION

  • PORTFOLIO OPTIMIZATION OBJECT (INCLUDING CVAR OPTIMIZATION
  • BLACK-LITTERMAN PORTFOLIO OPTIMIZATION USING FACTORS https://www.mathworks.com/help/finance/asset-allocation-and-portfolio-optimization.html

CHAPTER 13: SECURITY SELECTION

  • ECONOMETRICS FOR SECURITY SELECTION
  • REGRESSION LEARNER FOR SECURITY SELECTION
  • CLASSIFICATION LEARNER FOR SECURITY SELECTION
  • DEEP LEARNING FOR SECURITY SELECTION
  • REINFORCEMENT LEARNER FOR SECURITY SELECTION
  • UEC (ENVIRONMENTAL SOCIAL & GOVERNANCE (ESG) HEDGE FUND) DATA & SCREENS

CHAPTER 14: BACKTESTING

  • BACKTESTING FRAMEWORK
  • EMSC ORDER SIMULATION OBJECT AND TEST CODE
  • ENHANCED BACKTESTING OBJECT

CHAPTER 15: TRANSACTION COSTS & FEES

  • ENHANCED TCA OBJECT
  • ENHANCED KX/KDB+/Q OBJECT
  • TRANSACTION COST ANALYSIS DATABASE BUILDER
  • TRANSACTION COST ANALYSIS FORECAST
  • TRANSACTION COST ANALYSIS POST-ANALYSIS
  • TRANSACTION COST ANALYSIS RECALIBRATION TOOL

CHAPTER 16: REBALANCING AND TAXES

  • TAX-LOSS HARVESTING PERFORMANCE CALCULATOR
  • TAX-LOSS HARVESTING TRADE RECOMMENDATION

CASE STUDY: PERFORMANCE OF THE LARGEST 101 ROBOADVISORS

CHAPTER 17: TIME SERIES & CROSS-SECTIONAL ANALYSIS

CASE STUDY: VECTOR ERROR CORRECTING (VEC) VS DYNAMIC STOCHASTIC GENERAL EQUILIBRIUM MODEL (DSGE)

  • VECTOR ERROR CORRECTING (VEC)
  • DYNAMIC STOCHASTIC GENERAL EQUILIBRIUM MODEL (DSGE)

CHAPTER 18: PERFORMANCE & RISK MANAGEMENT

CHAPTER 19: INVESTMENT, RISK, & CASH MANAGEMENT

CASE STUDIES

CASE STUDY: FEE ENGINEERING

CASE STUDY: GATES, LOCKUPS, AND SETTLEMENT PERIODS

CASE STUDY: CONTAGION

CASE STUDY: ECONOMIC SURPRISE

CASE STUDY: QUANTEMENTAL GTAA

CASE STUDY: ESG TAA

CASE STUDY: SOUTH AFRICAN TAA

CASE STUDY: LAZY (OPPORTUNISTIC) REBALANCING

OTHER RESOURCES

TEXTBOOK

* http://www.quantitativeassetmanagement.com/

DATA

* Datasets: Obtain a WRDS account https://www8.gsb.columbia.edu/itg/faculty/research_at_cbs/database/wrdsrequest

* CRSP/COMPUSTAT MERGED DATABASE – SECURITIES DAILY https://wrds-www.wharton.upenn.edu/pages/get-data/center-research-security-prices-crsp/annual-update/crspcompustat-merged/security-daily/

* CRSP MUTUAL FUNDS – HOLDINGS https://wrds-www.wharton.upenn.edu/pages/get-data/center-research-security-prices-crsp/quarterly-update/mutual-funds/portfolio-holdings/

* FINANCIAL RATIOS https://wrds-www.wharton.upenn.edu/pages/get-data/financial-ratios-suite-wrds/

* INTRADAY INDICATORS https://wrds-www.wharton.upenn.edu/pages/get-data/intraday-indicators-wrds/

* VENTURE CAPITAL https://wrds-www.wharton.upenn.edu/pages/get-data/wrds-venture-capital/

* FACTORS https://wrds-www.wharton.upenn.edu/pages/get-data/wrds-factors/

* SEC ANALYTICS https://wrds-www.wharton.upenn.edu/pages/get-data/wrds-sec-analytics-suite/

* I/B/E/S ANALYSTS’ FORCAST DETAIL HISTORY https://wrds-www.wharton.upenn.edu/pages/get-data/ibes-thomson-reuters/ibes-academic/detail-history/detail/

* THOMSON REUTERS MUTUAL FUND HOLDINGS – S12 MASTER FILE https://wrds-www.wharton.upenn.edu/pages/get-data/thomson-reuters/mutual-fund-holdings-s12/s12-master-file/

* THOMPSON/REFINITIV DATASTREAM DAILY INDEX CONSTITUENTS https://wrds-www.wharton.upenn.edu/pages/get-data/thomson-reuters/datastream/equities-data/dly_index_const/

* NEW YORK STOCK EXCHANGE & AMERICAN STOCK EXCHANGE & NASDAQ NATIONAL MARKET SYSTEM MILLISECOND TRADE AND QUOTE DATABASE https://wrds-www.wharton.upenn.edu/pages/get-data/nyse-trade-and-quote/

SOFTWARE

* Install MATLAB https://www.mathworks.com/academia/tah-portal/columbia-university-650045.html

 

BIG DATA

* Review and run this example: https://www.mathworks.com/help/matlab/large-files-and-big-data.html

* Review and run the examples at the BOTTOM of this page:  https://www.mathworks.com/products/datafeed.html

BACKTESTING

* Review and run this example: https://www.mathworks.com/help/finance/portfolio-backtest-framework.html?s_tid=CRUX_lftnav

* Review and run this example: https://www.mathworks.com/videos/backtesting-strategy-framework-in-financial-toolbox-1606119787183.html

* Review and run this example: https://www.mathworks.com/help/finance/backtest-investment-strategies.html

* Review and run this example: https://www.mathworks.com/help/finance/backtest-investment-strategies-with-trading-signals.html

* Review and run this example: https://www.mathworks.com/help/finance/backtesting-using-risk-based-equity-indexation.html

* Review and run this example:  https://www.mathworks.com/help/finance/backtest-strategies-using-deep-learning.html

* Review available code here: http://www.quantitativeassetmanagement.com/computercode/

TRADING

* Read https://www.mathworks.com/help/datafeed/bloomberg-emsx.html

* Read https://www.schwab.com/learn/story/stock-order-types-and-conditions-overview

* Have a quick look at https://emsx-api-doc.readthedocs.io/en/latest/

* Read https://www.backtrader.com/docu/

* Watch https://www.mathworks.com/videos/series/getting-started-with-trading-toolbox-94461.html

MARKET IMPACT

* Source data from papers like https://arxiv.org/abs/1705.03233

* Source data from Github like https://github.com/rorysroes/SGX-Full-OrderBook-Tick-Data-Trading-Strategy

* Source data from WRDS (you need an account from the library) https://wrds-www.wharton.upenn.edu/

* Source data from paid services (e.g. LOBSTER) https://lobsterdata.com/

* Look for open-source data like https://awesomeopensource.com/projects/orderbook

* Contact X and ask for data from LOBSTER

* Review and run this example: https://www.mathworks.com/videos/feature-extraction-using-diagnostic-feature-designer-app-1551178861512.html?s_tid=srchtitle_learner%20app_6

* Review and run this example: https://www.mathworks.com/videos/classify-data-using-the-classification-learner-app-106171.html

* Review and run this example: https://www.mathworks.com/help/matlab/large-files-and-big-data.html

* Review and run this example: https://www.mathworks.com/videos/forecast-electrical-load-using-the-regression-learner-app-1536231842528.html?s_tid=srchtitle_regression%20learner%20app_1

* Run this code: https://www.mathworks.com/help/finance/deep-reinforcement-learning-for-optimal-trade-execution.html 

PORTFOLIO CONSTRUCTION

* Review and run this example: https://www.mathworks.com/help/finance/portfolio-optimization-examples.html

* Review and run this example: https://www.mathworks.com/help/finance/portfolio-optimization-against-a-benchmark.html

* Review and run this example: https://www.mathworks.com/help/finance/backtest-investment-strategies.html

* Review and run this example: https://www.mathworks.com/help/finance/backtest-investment-strategies.html

* Review and run this example: https://www.mathworks.com/help/finance/backtest-investment-strategies-with-trading-signals.html

* Review and run this example: https://www.mathworks.com/help/finance/backtest-strategies-using-deep-learning.html

* Review and run this example: https://www.mathworks.com/help/finance/portfolio-optimization-using-social-constraints.html

* Review and run this example: https://www.mathworks.com/help/finance/diversification-of-esg-portfolios.html

* Review and run this example: https://www.mathworks.com/help/finance/backtesting-using-risk-based-equity-indexation.html

* Review and run this example: https://www.mathworks.com/help/finance/create-hierarchical-risk-parity-portfolio.html

* Review and run this example: https://www.mathworks.com/help/finance/diversify-portfolio-using-custom-objective-function.html

* Review and run this examplehttps://www.mathworks.com/help/finance/custom-objective-function-for-min-variance-with-tracking-error-penalty.html

* Review and run this example: https://www.mathworks.com/help/finance/black-litterman-portfolio-optimization.html

* Review and run this example: https://www.mathworks.com/help/finance/portfolio-optimization-using-factor-models.html

* Review and run this example: https://www.mathworks.com/help/finance/asset-allocation-case-study.html

* Review and run this example: https://www.mathworks.com/help/finance/create-risk-budgeting-portfolio.html

* Review and run this example: https://www.mathworks.com/help/finance/using-custom-objective-function-for-min-tracking-return-with-net-return-constraint.html

* Review and run this example: https://www.mathworks.com/help/finance/hedging-using-cvar-portfolio-optimization.html

* Review and run this example: https://www.mathworks.com/help/finance/compute-maximum-reward-to-risk-using-cvar-portfolio-optimization.html

* Review and run this example: https://www.mathworks.com/help/finance/mixed-integer-mad-portfolio-optimization-problem.html

* Review and run this example: https://www.mathworks.com/help/finance/index.html?s_tid=CRUX_topnav

* Review available code here: http://www.quantitativeassetmanagement.com/computercode/

PERFORMANCE

* Read about GICS: https://www.msci.com/our-solutions/indexes/gics

* Review and run this example: https://www.mathworks.com/help/finance/investment-performance-metrics-1.html

SCENARIOS AND STRESS

“* Read https://www.bloomberg.com/professional/blog/whats-worst-nightmare-heres-find-portfolio-ready/#:~:text=Bloomberg%27s%20scenario%20analysis%20tool%20in,a%20group%20of%20risk%20factors.”

* Review and run this example: https://www.mathworks.com/help/finance/investment-performance-metrics-1.html