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Alex Chinco alexchinco

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alexchinco / plot--2-period-kyle-model--11aug2014.R
Last active August 29, 2015 14:05
Simulate equilibrium parameters for 2 period Kyle (1985)-type model
## Prep workspace
rm(list=ls())
library(foreign)
library(grid)
library(plyr)
library(ggplot2)
library(tikzDevice)
print(options('tikzLatexPackages'))
options(tikzLatexPackages =
@alexchinco
alexchinco / existing-information-based-asset-pricing-Models.html
Last active August 29, 2015 14:06
XKCD-style slide
<!DOCTYPE html>
<meta charset="utf-8">
<link rel="stylesheet" href="http://cmx.io/v/0.1/cmx.css">
<script src="http://cmx.io/v/0.1/cmx.js" charset="utf-8"></script>
<style>.cmx-user-scene4 .cmx-text-border .cmx-path {stroke: orange}</style>
<body>
<div style="max-width:900px; -webkit-transform:rotate(0deg)">
<scene id="scene1">
<label t="translate(0,346)">
@alexchinco
alexchinco / manual-multithread.py
Created October 21, 2014 17:27
Code for No Coincidence, No Story, No Trade (2014)
import time, subprocess
def replaceYear(year1, year2):
inFile = open("prog-2--create-regression-data--template--21oct2014.sas").read()
inFile = inFile.replace("YYYY", year1)
inFile = inFile.replace("ZZZZ", year2)
outFile = open("prog-2--create-regression-data--Y-" + year2 + "--21oct2014.sas", 'w')
outFile.write(inFile)
outFile.close()
@alexchinco
alexchinco / AR(1) Coefficient Bias
Created February 9, 2015 04:19
Run simulation to show AR(1) coefficient bias in small samples.
## Prep workspace
options(width=120, digits=6, digits.secs=6)
rm(list=ls())
library(foreign)
library(grid)
library(plyr)
library(ggplot2)
library(tikzDevice)
print(options('tikzLatexPackages'))
@alexchinco
alexchinco / data--quarterly-cpi.csv
Created February 19, 2015 13:39
Data and code for post on impulse-response functions for VARs.
DATE VALUE
1947-01-01 .
1947-04-01 1.42857
1947-07-01 2.18083
1947-10-01 2.83237
1948-01-01 2.11874
1948-04-01 1.59207
1948-07-01 1.68382
1948-10-01 -0.91815
1949-01-01 -0.95147
@alexchinco
alexchinco / compute-idiosyncratic-volatility--04may2015.sas
Created May 5, 2015 15:23
Code for figures in "Comparing explanations for the idiosyncratic-return volatility puzzle".
;/*************************************************************************************
@author: Alex Chinco
@date: May 4th, 2015
**************************************************************************************/
OPTIONS LINESIZE = 208;
OPTIONS PAGESIZE = 208;
LIBNAME crsp '/wrds/crsp/sasdata/a_stock';
LIBNAME cboe '/wrds/cboe/sasdata';
@alexchinco
alexchinco / plot--grossman-stiglitz-vs-kyle--11jun2015.R
Created June 15, 2015 18:32
Kyle vs Grossman-Stiglitz comparative statics.
## Prep workspace
options(width=120, digits=6, digits.secs=6)
rm(list=ls())
library(foreign)
library(grid)
library(plyr)
library(ggplot2)
library(tikzDevice)
print(options('tikzLatexPackages'))
@alexchinco
alexchinco / plot--equilibrium-coefficients--25jun2015.R
Created June 25, 2015 16:33
Code: Risk Aversion, Information Choice, and Price Impact
## Prep workspace
options(width=120, digits=6, digits.secs=6)
rm(list=ls())
library(foreign)
library(grid)
library(plyr)
library(ggplot2)
library(tikzDevice)
print(options('tikzLatexPackages'))
@alexchinco
alexchinco / plot--model-solution--26aug2015.R
Created August 28, 2015 15:13
Solution to multiscale noisy-rational-expectations model.
## Prep workspace
options(width=120, digits=6, digits.secs=6)
rm(list=ls())
library(foreign)
library(grid)
library(plyr)
library(ggplot2)
library(tikzDevice)
print(options('tikzLatexPackages'))
@alexchinco
alexchinco / plot--kyle-1989-model-solution--12nov2015.R
Created November 13, 2015 22:58
Code to solve for the equilibrium parameters in the Kyle (1989) model
## Prep workspace
options(width=120, digits=6, digits.secs=6)
rm(list=ls())
library(foreign)
library(grid)
library(plyr)
library(ggplot2)
library(tikzDevice)
print(options('tikzLatexPackages'))