Gen Li
Gen Li
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Replicate Post-Earnings Announcement Drift (PEAD)
This stata code creates earnings surprise measurement and replicates post-earnings announcement drift with I/B/E/S, Compustat, and CRSP datasets.
GitHub
Replicate Barberis, Jin, and Wang (2021)
This code replicates parts of the paper “Prospect Theory and Stock Market Anomalies” by Barberis, Jin, and Wang. I choose the momentum anomaly to replicate in my code.
GitHub
Extract TAQ data from WRDS Cloud via terminal
A simple SAS program that can extract TAQ data from WRDS cloud for a list of companies on particular dates during specific time periods.
GitHub
GradCafe Tracker (DansonGo 6)
A simple program that can keep tracking new admission results on GradCafe.
Gen Li
GitHub
Option Pricing with Monte Carlo Simulation under Heston Stochastic Volatility Model
This application is a non-exotic and exotic option price simulator using Monte Carlo simulation. It prices options under Black–Scholes/Heston model with Milstein/Euler scheme. This GUI app allows users to directly input parameters and choose model and scheme to get simulated option prices.
GitHub
Event Study Robot
This is an offline event study application equipped with the processed CRSP and French library data. It can automatically perform event study by importing a list of PERMNO, event date, and window size.
GitHub
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