Below are a few programs that I wrote for my own research or to replicate other researchers' papers. Most of my code is written in SAS or MatLab. You are free to use my programs, under the condition that you will notify me in case you find any error.
Imports Russell Indexes constituent data and adds CRSP permnos.
SAS program to perform two-stage least squares regression with double clustered standard errors using IML. The model has one regressor and one instrument, and does not include intercepts, as in Pastor, Stambaugh, & Taylor (2015).
The following is a selection of websites and software products that I enjoy using:
Popular Python distribution for data science and machine learning
Tool that provides insights into FOIA requests
Network visualization tool
Form ADV information
High-level programming language for simulations and matrix oriented computations
Online LaTeX editor that allows for collaboration
Statistical software suite that is very fast on large datasets
Access company filings
Collaboration software that facilitates teamwork and logs conversations
Statistical software package that makes regressions easy to perform
Python source code editor with debugger
My research interests lie in the areas of empirical asset pricing, institutional investors, and alternative investments. I have worked on a variety of projects concerning mutual funds, hedge funds, indexing, and investor behavior. Recently, I have started exploring other areas such as crypto-currencies and machine learning as well.
Together with Caitlin Dannhauser, I organize The Robert T. LeClair Finance Department Seminar Series. I am also a member of the VU Women in Tech committee and the Faculty Service Evaluation committee.