Some code I’ve written is available on my Github:
- My AssetAllocation R package is available CRAN. The latest version is on my Github here.
- My implementation of the Model Confidence Set (MCS) procedure of Hansen, Lunde, and Nason (2011) for Matlab (based on the estMCS package for R, written by Rolf Tschernig and maintained by Niels Aka) is here.
- A Python replication of the pairs trading strategy used in Gatev, Goetzmann and Rouwenhorst (2006) is available here. A Jupyter notebook with some context, results and graphs is also included.
I occasionally publish some R markdowns here.