Code

I am a proponent of open source software and transparent academic research. I am an active member of the Julia community.

In addition to contributing to existing Julia packages, I maintain a number of packages I found useful in my own work. I hope that other finance researchers and practitioners can find value in them as well.

• FamaFrenchData.jl – cleanly pull data directly from the Ken French Data Library

• DailyTreasuryYieldCurve.jl – efficiently pull yield curves directly from the US Treasury

• FinancialPortfolios.jl – convenience package for working with portfolios

• AsymmetricRisk.jl – implements a number of univariate and bivariate asymmetric risk measures (WIP)

Find these and more on my GitHub profile.