Tidy Finance with R

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.title[
# Tidy Finance with R
]
.subtitle[
## www.tidy-finance.org
]
.author[
### Christoph Scheuch, Stefan Voigt, Patrick Weiss
]
.date[
### June 23, 2022
]

---

class: chapter-slide

# What is 'Tidy Finance with R'?

---

## #TidyFinance started with three PhD students

#### &emsp; &ensp; &ensp; Christoph Scheuch &ensp; &emsp; &emsp; &emsp; Stefan Voigt &ensp; &emsp; &emsp; &emsp; &emsp; Patrick Weiss

&nbsp;

Studied together at the [Vienna Graduate School of Finance](https://www.vgsf.ac.at/).

???

A long, long time ago. Tidy Finance started out with three PhD students.

---

### #TidyFinance is ...

.pull-left[
- ... an open-source `{bookdown}` available at [tidy-finance.org](https://www.tidy-finance.org).

- ... a step towards **reproducible finance** by providing a fully transparent code base.

- ... a resource for students, lecturers, and professionals using `R` for applications in finance.

- ... a **tidy** approach to finance.

- ... adding **new chapters** and **revising existing chapters**.
]

.pull-right[
<middle><center><img src="images/cover.jpg" alt="Cover image of 'Tidy Finance with R'. The figure reads Tidy Finance with R followed by the author's names; Christoph Scheuch, Stefan Voigt, and Patrick Weiss." width="400"/></center></middle>
]

???

---
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# Who should read #TidyFinance?

???

---
## The three target audiences of #TidyFinance

&nbsp;

.middle[
.pull-left[
<span style="color:#1464b4; font-size:32pt; font-weight: bold"><svg aria-hidden="true" role="img" viewBox="0 0 640 512" style="height:1em;width:1.25em;vertical-align:-0.125em;margin-left:auto;margin-right:auto;font-size:inherit;fill:currentColor;overflow:visible;position:relative;"><path d="M622.34 153.2L343.4 67.5c-15.2-4.67-31.6-4.67-46.79 0L17.66 153.2c-23.54 7.23-23.54 38.36 0 45.59l48.63 14.94c-10.67 13.19-17.23 29.28-17.88 46.9C38.78 266.15 32 276.11 32 288c0 10.78 5.68 19.85 13.86 25.65L20.33 428.53C18.11 438.52 25.71 448 35.94 448h56.11c10.24 0 17.84-9.48 15.62-19.47L82.14 313.65C90.32 307.85 96 298.78 96 288c0-11.57-6.47-21.25-15.66-26.87.76-15.02 8.44-28.3 20.69-36.72L296.6 284.5c9.06 2.78 26.44 6.25 46.79 0l278.95-85.7c23.55-7.24 23.55-38.36 0-45.6zM352.79 315.09c-28.53 8.76-52.84 3.92-65.59 0l-145.02-44.55L128 384c0 35.35 85.96 64 192 64s192-28.65 192-64l-14.18-113.47-145.03 44.56z"/></svg> Students</span>

<span style="font-size:32pt; font-weight: bold"><svg aria-hidden="true" role="img" viewBox="0 0 640 512" style="height:1em;width:1.25em;vertical-align:-0.125em;margin-left:auto;margin-right:auto;font-size:inherit;fill:currentColor;overflow:visible;position:relative;"><path d="M96 64h448v352h64V40c0-22.06-17.94-40-40-40H72C49.94 0 32 17.94 32 40v376h64V64zm528 384H480v-64H288v64H16c-8.84 0-16 7.16-16 16v32c0 8.84 7.16 16 16 16h608c8.84 0 16-7.16 16-16v-32c0-8.84-7.16-16-16-16z"/></svg> Instructors</span>

<span style="font-size:32pt; font-weight: bold"><svg aria-hidden="true" role="img" viewBox="0 0 448 512" style="height:1em;width:0.88em;vertical-align:-0.125em;margin-left:auto;margin-right:auto;font-size:inherit;fill:currentColor;overflow:visible;position:relative;"><path d="M224 256c70.7 0 128-57.3 128-128S294.7 0 224 0 96 57.3 96 128s57.3 128 128 128zm95.8 32.6L272 480l-32-136 32-56h-96l32 56-32 136-47.8-191.4C56.9 292 0 350.3 0 422.4V464c0 26.5 21.5 48 48 48h352c26.5 0 48-21.5 48-48v-41.6c0-72.1-56.9-130.4-128.2-133.8z"/></svg> &hairsp; Professionals</span>

]

.pull-right[
- Students from **undergraduate** and **graduate** programs in finance.

- There is a potential for **self-studying** the content.

- Each chapter provides **exercises** to check progress.

- Reference for later stages in their professional careers.
]
]

???

Students who want to acquire the basic tools required to conduct financial research ranging from undergrad to graduate level. The book's structure is simple enough such that the material is sufficient for self-study purposes.

---
## The three target audiences of #TidyFinance

&nbsp;

.middle[
.pull-left[
<span style="font-size:32pt; font-weight: bold"><svg aria-hidden="true" role="img" viewBox="0 0 640 512" style="height:1em;width:1.25em;vertical-align:-0.125em;margin-left:auto;margin-right:auto;font-size:inherit;fill:currentColor;overflow:visible;position:relative;"><path d="M622.34 153.2L343.4 67.5c-15.2-4.67-31.6-4.67-46.79 0L17.66 153.2c-23.54 7.23-23.54 38.36 0 45.59l48.63 14.94c-10.67 13.19-17.23 29.28-17.88 46.9C38.78 266.15 32 276.11 32 288c0 10.78 5.68 19.85 13.86 25.65L20.33 428.53C18.11 438.52 25.71 448 35.94 448h56.11c10.24 0 17.84-9.48 15.62-19.47L82.14 313.65C90.32 307.85 96 298.78 96 288c0-11.57-6.47-21.25-15.66-26.87.76-15.02 8.44-28.3 20.69-36.72L296.6 284.5c9.06 2.78 26.44 6.25 46.79 0l278.95-85.7c23.55-7.24 23.55-38.36 0-45.6zM352.79 315.09c-28.53 8.76-52.84 3.92-65.59 0l-145.02-44.55L128 384c0 35.35 85.96 64 192 64s192-28.65 192-64l-14.18-113.47-145.03 44.56z"/></svg> Students</span>

<span style="color:#1464b4; font-size:32pt; font-weight: bold"><svg aria-hidden="true" role="img" viewBox="0 0 640 512" style="height:1em;width:1.25em;vertical-align:-0.125em;margin-left:auto;margin-right:auto;font-size:inherit;fill:currentColor;overflow:visible;position:relative;"><path d="M96 64h448v352h64V40c0-22.06-17.94-40-40-40H72C49.94 0 32 17.94 32 40v376h64V64zm528 384H480v-64H288v64H16c-8.84 0-16 7.16-16 16v32c0 8.84 7.16 16 16 16h608c8.84 0 16-7.16 16-16v-32c0-8.84-7.16-16-16-16z"/></svg> Instructors</span>

]

.pull-right[
- Lecturers who teach **empirical finance courses**, e.g., in asset pricing.

- Can be used as the **main** or a **complimentary textbook**.

- Possible to focus on **specific chapters**, e.g., factor selection with machine learning.

- All chapters are **self-contained**.
]
]

???

Instructors who look for materials to teach in empirical finance courses. We provide plenty of examples and (hopefully) intuitive explanations which can easily be adjusted or expanded.

Stefan uses it for teaching already.

---
## The three target audiences of #TidyFinance

&nbsp;

<span style="color:#1464b4; font-size:32pt; font-weight: bold"><svg aria-hidden="true" role="img" viewBox="0 0 448 512" style="height:1em;width:0.88em;vertical-align:-0.125em;margin-left:auto;margin-right:auto;font-size:inherit;fill:currentColor;overflow:visible;position:relative;"><path d="M224 256c70.7 0 128-57.3 128-128S294.7 0 224 0 96 57.3 96 128s57.3 128 128 128zm95.8 32.6L272 480l-32-136 32-56h-96l32 56-32 136-47.8-191.4C56.9 292 0 350.3 0 422.4V464c0 26.5 21.5 48 48 48h352c26.5 0 48-21.5 48-48v-41.6c0-72.1-56.9-130.4-128.2-133.8z"/></svg> &hairsp; Professionals</span>

]

.pull-right[
- Data analysts or scientists, statisticians, and others working on **finance-related topics**.

- Shortcuts to **financial data** providers.

- Practical, easy-to-adapt **tools** to implement common tasks.
]
]

???

Data analysts or statisticians who work on issues pertaining to financial data and need practical tools to do so.

---
## Background knowledge for #TidyFinance

&nbsp;

]

.pull-right[
.center[.middle[
&nbsp;

]
]

???
The finance crowd will benefit from our **tidy implementation**.

The `R`-oriented person will appreciate our **finance background**, best practices, and **references**.

---
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# What is covered in #TidyFinance?

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## #TidyFinance covers a variety of topics

.pull-left[
### Introduction
  - Show #TidyFinance-approach
  - **Yahoo!Finance** data 
  - Portfolio choice
  - **Efficient frontier**
]

.pull-right[
### Financial data
- **Tidy** data
- Fama-French data 
- Macroeconomic data
- **WRDS** via `{RPostgres}`  
- **CRSP**, **Compustat**
- Database with `{RSQLite}`
]

---

## #TidyFinance covers a variety of topics

.pull-left[
### Asset pricing 
  - Beta estimation
  - Parallelization with `{future}`
  - **Portfolio sorts** 
  - Replication of Fama-French 3-factors 
  - **Fama-MacBeth** regressions
  ]
  
.pull-right[
### Machine learning
  - Factor selection
  - Option pricing
  - Ridge, Lasso, random forests, neural networks 
  - `{tidymodels}`
  - `{keras}`
]
  
---

## #TidyFinance covers a variety of topics

.pull-left[
### Portfolio optimization
  - Parametric portfolio optimization
  - Constrained optimization
  - **Performance evaluation**
  - Backtesting
]

.pull-right[
### And more
 - Do you have further **suggestions**?
]

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# Why `R`? Why `{Tidyverse}`?

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.pull-left[
### `R` is among the best choices for finance programming.

- Free, open-source software with a diverse, active **community**.

- Actively-maintained **packages** for all kinds of applications.

- Smooth integration with other **programming languages**.

- **RStudio** <svg aria-hidden="true" role="img" viewBox="0 0 512 512" style="height:1em;width:1em;vertical-align:-0.125em;margin-left:auto;margin-right:auto;font-size:inherit;fill:steelblue;overflow:visible;position:relative;"><path d="M462.3 62.6C407.5 15.9 326 24.3 275.7 76.2L256 96.5l-19.7-20.3C186.1 24.3 104.5 15.9 49.7 62.6c-62.8 53.6-66.1 149.8-9.9 207.9l193.5 199.8c12.5 12.9 32.8 12.9 45.3 0l193.5-199.8c56.3-58.1 53-154.3-9.8-207.9z"/></svg>
]

.pull-right[
### `{Tidyverse}` is the way for data analysis.

- Messy data cause pain. **Tidy data** cause joy.

- Compose simple functions with the **pipe**.

- Designed for **humans**.

- **Consistent** across packages.
]

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# Final remarks

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.center[## #TidyFinance will be published.]

&nbsp;

.pull-left[

- We signed a contract with **CRC Press**.

- Expected to be published in the CRC **R Series** in 2023.

- [tidy-finance.org](https://www.tidy-finance.org) will remain **free** and up-to-date.

]

.pull-right[

]

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background-image: url("images/cover.jpg")
background-position: right
background-size: 400px

### Reach out with comments, questions, or <br> suggestions: <svg aria-hidden="true" role="img" viewBox="0 0 512 512" style="height:1em;width:1em;vertical-align:-0.125em;margin-left:auto;margin-right:auto;font-size:inherit;fill:blue;overflow:visible;position:relative;"><path d="M502.3 190.8c3.9-3.1 9.7-.2 9.7 4.7V400c0 26.5-21.5 48-48 48H48c-26.5 0-48-21.5-48-48V195.6c0-5 5.7-7.8 9.7-4.7 22.4 17.4 52.1 39.5 154.1 113.6 21.1 15.4 56.7 47.8 92.2 47.6 35.7.3 72-32.8 92.3-47.6 102-74.1 131.6-96.3 154-113.7zM256 320c23.2.4 56.6-29.2 73.4-41.4 132.7-96.3 142.8-104.7 173.4-128.7 5.8-4.5 9.2-11.5 9.2-18.9v-19c0-26.5-21.5-48-48-48H48C21.5 64 0 85.5 0 112v19c0 7.4 3.4 14.3 9.2 18.9 30.6 23.9 40.7 32.4 173.4 128.7 16.8 12.2 50.2 41.8 73.4 41.4z"/></svg> [contact@tidy-finance.org](mailto:contact@tidy-finance.org)

&nbsp;

## <svg aria-hidden="true" role="img" viewBox="0 0 512 512" style="height:1em;width:1em;vertical-align:-0.125em;margin-left:auto;margin-right:auto;font-size:inherit;fill:currentColor;overflow:visible;position:relative;"><path d="M256 8c137 0 248 111 248 248S393 504 256 504 8 393 8 256 119 8 256 8zM140 300h116v70.9c0 10.7 13 16.1 20.5 8.5l114.3-114.9c4.7-4.7 4.7-12.2 0-16.9l-114.3-115c-7.6-7.6-20.5-2.2-20.5 8.5V212H140c-6.6 0-12 5.4-12 12v64c0 6.6 5.4 12 12 12z"/></svg> visit [tidy-finance.org](https://www.tidy-finance.org)