Quant Mashup - Reproducible Finance

Market Structure Part 1: Order Volume Density [Reproducible Finance]

Welcome to another installment of Reproducible Finance! Inspired by a great visualization in Hands on Time Series with R by Rami Krispin, today we’ll investigate some market structure data and get to know the Midas data source provided by the SEC. Let’s start by importing data from the SEC(...)

IPO Exploration: Part 1 [Reproducible Finance]

Inspired by recent headlines like Fear Overtakes Greed in IPO Market after WeWork Debacle and This Year’s IPO Class is Least Profitable since the Tech Bubble, today we’ll explore historical IPO data and next time we’ll look at the the performance of IPO driven-portfolios constructed during the(...)

Tech Dividends [Reproducible Finance]

In a previous post, we explored the dividend history of stocks included in the SP500. Today we’ll extend that anlaysis to cover the Nasdaq because, well, because in the previous post I said I would do that. We’ll also explore a different source for dividend data, do some string cleaning and(...)

Summer VIX [Reproducible Finance]

In a previous post, from way back in August of 2017, we explored the relationship between the VIX and the past, realized volatility of the S&P 500 and reproduced some interesting work from AQR on the meaning of the VIX. With the recent market and VIX rollercoaster, this seemed a good time to(...)