Christoph Frey is a Quantitative Researcher and Portfolio Manager at a family office in Hamburg and a Research Fellow at the Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy at Lancaster University. Prior to this, he was the leading quantitative researcher for systematic multi-asset strategies at Berenberg Bank and worked as an Assistant Professor at the Erasmus Universiteit Rotterdam. Christoph published research on Bayesian Econometrics and specializes in financial econometrics and portfolio optimization problems.Christoph Scheuch is the Head of Artificial Intelligence at the social trading platform wikifolio.com. He is responsible for researching, designing, and prototyping of cutting-edge AI-driven products using R and Python. Before his focus on AI, he was responsible for product management and business intelligence at wikifolio.com and an external lecturer at the Vienna University of Economics and Business, where he taught finance students how to manage empirical projects.Stefan Voigt is an Assistant Professor of Finance at the Department of Economics at the University in Copenhagen and a research fellow at the Danish Finance Institute. His research focuses on blockchain technology, high-frequency trading, and financial econometrics. Stefan's research has been published in the leading finance and econometrics journals and he received the Danish Finance Institute Teaching Award 2022 for his courses for students and practitioners on empirical finance based on Tidy Finance.Patrick Weiss is an Assistant Professor of Finance at Reykjavik University and an external lecturer at the Vienna University of Economics and Business. His research activity centers around the intersection of empirical asset pricing and corporate finance, with his research appearing in leading journals in financial economics. Patrick is especially passionate about empirical asset pricing and strives to understand the impact of methodological uncertainty on research outcomes.

• PrefaceAuthor BiographiesPart 1: Getting Started 1. Setting Up Your Environment2. Introduction to Tidy FinancePart 2: Financial Data3. Accessing and Managing Financial Data4. WRDS, CRSP, and Compustat5. TRACE and FISD6. Other Data ProvidersPart 3: Asset Pricing7. Beta Estimation8. Univariate Portfolio Sorts9. Size Sorts and p-Hacking10. Value and Bivariate Sorts11. Replicating Fama and French Factors12. Fama-MacBeth RegressionsPart 4: Modeling and Machine Learning 13. Fixed Effects and Clustered Standard Errors14. Difference in Differences15. Factor Selection via Machine Learning16. Option Pricing via Machine LearningPart 5: Portfolio Optimization 17. Parametric Portfolio Policies18. Constrained Optimization and BacktestingAppendices A. ColophonB. ProofsC. WRDS Dummy DataD. Clean Enhanced TRACE with PythonE. Cover ImageBibliographyIndex

“A fantastic book bringing together financial theory, sound econometrics, thorough data processing and powerful programming techniques using R. An absolute must for every student and scholar in empirical finance.”Nikolaus Hautsch, Professor of Finance & Statistics at University of Vienna“Tidy Finance is a fantastic resource that lowers the threshold for entry into empirical finance, all in the spirit of open and reproducible science.”Björn Hagströmer, Professor of Finance at Stockholm Business School“To have a deep understanding of empirical asset pricing, one needs to write code using actual data. To learn how to do this, there is no better starting point than Tidy Finance. [...] I strongly recommend Tidy Finance to both beginners and experts.”Raman Uppal, Professor of Finance at EDHEC Business School“Students and professionals alike are led step by step until they suddenly find themselves coding on their own. A brilliant and required resource!”Mark Salmon, Professor of Economics at University of Cambridge

Christoph Frey is a Quantitative Researcher and Portfolio Manager at a family office in Hamburg and a Research Fellow at the Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy at Lancaster University. Prior to this, he was the leading quantitative researcher for systematic multi-asset strategies at Berenberg Bank and worked as an Assistant Professor at the Erasmus Universiteit Rotterdam. Christoph published research on Bayesian Econometrics and specializes in financial econometrics and portfolio optimization problems.Christoph Scheuch is the Head of Artificial Intelligence at the social trading platform wikifolio.com. He is responsible for researching, designing, and prototyping of cutting-edge AI-driven products using R and Python. Before his focus on AI, he was responsible for product management and business intelligence at wikifolio.com and an external lecturer at the Vienna University of Economics and Business, where he taught finance students how to manage empirical projects.Stefan Voigt is an Assistant Professor of Finance at the Department of Economics at the University in Copenhagen and a research fellow at the Danish Finance Institute. His research focuses on blockchain technology, high-frequency trading, and financial econometrics. Stefan's research has been published in the leading finance and econometrics journals and he received the Danish Finance Institute Teaching Award 2022 for his courses for students and practitioners on empirical finance based on Tidy Finance.Patrick Weiss is an Assistant Professor of Finance at Reykjavik University and an external lecturer at the Vienna University of Economics and Business. His research activity centers around the intersection of empirical asset pricing and corporate finance, with his research appearing in leading journals in financial economics. Patrick is especially passionate about empirical asset pricing and strives to understand the impact of methodological uncertainty on research outcomes.

• PrefaceAuthor BiographiesPart 1: Getting Started 1. Setting Up Your Environment2. Introduction to Tidy FinancePart 2: Financial Data3. Accessing and Managing Financial Data4. WRDS, CRSP, and Compustat5. TRACE and FISD6. Other Data ProvidersPart 3: Asset Pricing7. Beta Estimation8. Univariate Portfolio Sorts9. Size Sorts and p-Hacking10. Value and Bivariate Sorts11. Replicating Fama and French Factors12. Fama-MacBeth RegressionsPart 4: Modeling and Machine Learning 13. Fixed Effects and Clustered Standard Errors14. Difference in Differences15. Factor Selection via Machine Learning16. Option Pricing via Machine LearningPart 5: Portfolio Optimization 17. Parametric Portfolio Policies18. Constrained Optimization and BacktestingAppendices A. ColophonB. ProofsC. WRDS Dummy DataD. Clean Enhanced TRACE with PythonE. Cover ImageBibliographyIndex

“A fantastic book bringing together financial theory, sound econometrics, thorough data processing and powerful programming techniques using R. An absolute must for every student and scholar in empirical finance.”Nikolaus Hautsch, Professor of Finance & Statistics at University of Vienna“Tidy Finance is a fantastic resource that lowers the threshold for entry into empirical finance, all in the spirit of open and reproducible science.”Björn Hagströmer, Professor of Finance at Stockholm Business School“To have a deep understanding of empirical asset pricing, one needs to write code using actual data. To learn how to do this, there is no better starting point than Tidy Finance. [...] I strongly recommend Tidy Finance to both beginners and experts.”Raman Uppal, Professor of Finance at EDHEC Business School“Students and professionals alike are led step by step until they suddenly find themselves coding on their own. A brilliant and required resource!”Mark Salmon, Professor of Economics at University of Cambridge

Christoph Frey is a Quantitative Researcher and Portfolio Manager at a family office in Hamburg and a Research Fellow at the Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy at Lancaster University. Prior to this, he was the leading quantitative researcher for systematic multi-asset strategies at Berenberg Bank and worked as an Assistant Professor at the Erasmus Universiteit Rotterdam. Christoph published research on Bayesian Econometrics and specializes in financial econometrics and portfolio optimization problems.Christoph Scheuch is the Head of Artificial Intelligence at the social trading platform wikifolio.com. He is responsible for researching, designing, and prototyping of cutting-edge AI-driven products using R and Python. Before his focus on AI, he was responsible for product management and business intelligence at wikifolio.com and an external lecturer at the Vienna University of Economics and Business, where he taught finance students how to manage empirical projects.Stefan Voigt is an Assistant Professor of Finance at the Department of Economics at the University in Copenhagen and a research fellow at the Danish Finance Institute. His research focuses on blockchain technology, high-frequency trading, and financial econometrics. Stefan's research has been published in the leading finance and econometrics journals and he received the Danish Finance Institute Teaching Award 2022 for his courses for students and practitioners on empirical finance based on Tidy Finance.Patrick Weiss is an Assistant Professor of Finance at Reykjavik University and an external lecturer at the Vienna University of Economics and Business. His research activity centers around the intersection of empirical asset pricing and corporate finance, with his research appearing in leading journals in financial economics. Patrick is especially passionate about empirical asset pricing and strives to understand the impact of methodological uncertainty on research outcomes.

• PrefaceAuthor BiographiesPart 1: Getting Started 1. Setting Up Your Environment2. Introduction to Tidy FinancePart 2: Financial Data3. Accessing and Managing Financial Data4. WRDS, CRSP, and Compustat5. TRACE and FISD6. Other Data ProvidersPart 3: Asset Pricing7. Beta Estimation8. Univariate Portfolio Sorts9. Size Sorts and p-Hacking10. Value and Bivariate Sorts11. Replicating Fama and French Factors12. Fama-MacBeth RegressionsPart 4: Modeling and Machine Learning 13. Fixed Effects and Clustered Standard Errors14. Difference in Differences15. Factor Selection via Machine Learning16. Option Pricing via Machine LearningPart 5: Portfolio Optimization 17. Parametric Portfolio Policies18. Constrained Optimization and BacktestingAppendices A. ColophonB. ProofsC. WRDS Dummy DataD. Clean Enhanced TRACE with PythonE. Cover ImageBibliographyIndex

“A fantastic book bringing together financial theory, sound econometrics, thorough data processing and powerful programming techniques using R. An absolute must for every student and scholar in empirical finance.”Nikolaus Hautsch, Professor of Finance & Statistics at University of Vienna“Tidy Finance is a fantastic resource that lowers the threshold for entry into empirical finance, all in the spirit of open and reproducible science.”Björn Hagströmer, Professor of Finance at Stockholm Business School“To have a deep understanding of empirical asset pricing, one needs to write code using actual data. To learn how to do this, there is no better starting point than Tidy Finance. [...] I strongly recommend Tidy Finance to both beginners and experts.”Raman Uppal, Professor of Finance at EDHEC Business School“Students and professionals alike are led step by step until they suddenly find themselves coding on their own. A brilliant and required resource!”Mark Salmon, Professor of Economics at University of Cambridge