Tyson D. Van Alfen
Ph.D. Candidate in Finance | Gatton College of Business and Economics | University of Kentucky


Occasionally I find or create programming resources that I think are helpful to finance researchers. Links to the resources are included below.


STATA


SICFF

I created this program to convert SIC codes to any of the Fama French industries listed on Ken French's site. I'm sure everyone has those obnoxious lines of code to do this somewhere, but this should save you some space in your .do files. You can install the program directly from Stata using ssc install sicff, or you can click here to download a .zip file that contains the .ado file as well as the help file for the program.

REGHDFE

Created by Sergio Correia, this is "a Stata package that runs linear and instrumental-variable regressions with many levels of fixed effects, by implementing the estimator of Correia (2015)". This package is incredibly useful when estimating multiple fixed effects, multi-way clustering, and more. Install this program directly by running ssc install reghdfe from the Stata command prompt. See here for more information.

FASTREG

Created by Paul Geertsema, this program will assist you in running many small regressions (think rolling regressions). Stata's default method is orders of magnitude slower when the number of regressions is large. See his paper on SSRN for an explanation of the code. There is unfortunately no help file, but here is the .ado file.


PYTHON


PANDAS

Pandas is an impressive open-source package for Python that allows the researcher to implement easy-to-use data structures and tools. Its features and capabilities are many, so I would refer anyone who is interested in using Python for data management or analysis to the Pandas tutorials.

REQUESTS, BEAUTIFUL SOUP, & SELENIUM

To the researcher who is interested in web crawling, scraping, and parsing, these three Python packages are indispensable. Requests is an HTTP library for Python that can be simple for easy applications, yet powerful when it needs to be. If you need data from the web start here. Once you have access to the pages you'll probably want to use Beautiful Soup to scrape the important data out of the HTML. If the data you want is hidden behind some Javascript then Selenium might be the more advanced tool that you need.


iOS


PERCASO

My brother and I are in the early stages of developing the iOS app Percaso (Italian for "by chance") to assist professors in the creation of tests and quizzes with randomized questions, inputs, and answers. The result will be a unique quiz or exam for every student so that even if students cheat off of their neighbor's test it will not help them. You can find the early version of the app in the App Store. Early feedback is welcomed. You may also request a free coupon code from either one of us to test it out.