Links to Code and Data
Feb 23, 2026
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3 min read
Useful Links
| Resource | Description |
|---|---|
| Forecasting: Principles and Practice (3rd ed) | Free online textbook by Hyndman & Athanasopoulos — the go-to reference for time-series forecasting in R |
| Machine Learning for Factor Investing | Free online textbook by Coqueret & Guida — ML methods applied to equity asset allocation, with reproducible R code |
| Reproducible Research Workshop (UZH) | Introduction to reproducible research practices with R and Git (archived workshop materials) |
| Justin Esarey’s Teaching Page | Quantitative methods syllabi and materials spanning courses from introductory stats to Bayesian methods |
Replications & Code
| Resource | Description |
|---|---|
| Open Source Asset Pricing | Replication of 200+ asset pricing signals; download returns and characteristics from the published literature |
| Global Factor Data (JKP) | Jensen, Kelly & Pedersen (2023) factor database — 153 characteristics across 93 countries with a common task framework |
| Interacting Anomalies | Interactive exploration of anomaly interactions in the cross-section of stock returns |
| Wayne Chang’s R Code | R code for factor model replication and time-series methods |
| Christoph Jäckel’s Replication Blog | Blog-style replications of classic finance papers in R |
| Jeremiah Green’s Website | R code and data for accounting and finance research |
Machine Learning
| Resource | Description |
|---|---|
| TensorFlow Playground | Interactive neural network visualization — ideal for building intuition about deep learning |
| Machine Learning for Factor Investing | Free textbook with R (and Python) code for ML in asset management |
ESG Investing
| Resource | Description |
|---|---|
| Thierry Roncalli — Sustainable Finance | Lecture slides and course materials on portfolio construction and ESG from a practitioner/academic perspective |
| Guillaume Coqueret — Research | Research page including work on ESG, green returns, and sustainable equity investing |
Data
| Resource | Description |
|---|---|
| Ivo Welch’s Professional Page | Gateway to the Critical Finance Review, data resources, and editorial work |
| Goyal–Welch Data | Annual and monthly predictor data from Goyal & Welch (2008), regularly updated |
| Amit Goyal’s Data Page | Comprehensive equity predictor dataset (with Welch), used in hundreds of return predictability studies |
| Open Source Asset Pricing | 200+ replicated signals with monthly returns and firm characteristics ready to download |
| Global Factor Data (JKP) | 153 global equity factors across 93 countries; WRDS integration available |
| Sydney Ludvigson’s Data | Macro uncertainty indexes (LN uncertainty), financial conditions data, and replication files |
| Lubos Pastor’s Data | Political uncertainty index, ESG portfolios, mutual fund performance data |
| Lasse Pedersen’s Data | Equity factor returns, value/momentum, carry, time-series momentum, and quality datasets |
| Jeffrey Wurgler’s Data | Investor sentiment index (Baker & Wurgler) and related datasets |
| Harvard Dataverse | Open repository for research data across disciplines |
| Robert Shiller’s Data | Long-run equity/bond data, CAPE ratio, and housing data (Yale) |
My R Packages
| Package | Description |
|---|---|
| crypto2 | Download historical cryptocurrency data from CoinMarketCap — prices, market caps, and exchange data without an API key. GitHub |
| ffdownload | Automated download and import of Ken French’s factor data library into R. GitHub |
| rqmoms | Risk-neutral higher moments of the return distribution estimated from option prices. GitHub |
Other Academic R Code
| Resource | Description |
|---|---|
| Justin Esarey’s Teaching Page | Quantitative social science course materials including Bayesian, causal inference, and time-series R labs |