16
$\begingroup$

There are lot of questions on this website related to the replication of the empirical part of financial papers.

I noticed that some (honest) authors provide on their personal website some replication code in order to reproduce their model/simulations. I found very useful theses sites but they are rare.

So do you know a website that lists some replications codes (or list the links to these codes) ?

Or a website devoted to this end (finance-oriented) that allow us to upload our personal replication code for well-known papers? I googled with no success but I can't imagine it does not exist.

|improve this question
$\endgroup$
  • 2
    $\begingroup$ seems like a good idea for a QE proposal on area 51 $\endgroup$ – vonjd Dec 27 '15 at 20:20
7
$\begingroup$

http://replication.uni-goettingen.de/

(The below text was added by Jan Höffler who founded the wiki.)

This site is a replication project for papers, so far mainly in economics but open to any field. It serves as a database of empirical studies, the availability of replication material for them and of replication studies. It can help teaching replication to students.

You can search by codes of the Journal of Economic Literature and find more than 200 studies with code G for financial economics. You will see many of them have program code, and it is indicated which software was used. As you tagged r (2), MATLAB (54) and Ox (1), click on them to get all studies for which these packages were used. The numbers indicate how many of them currently have JEL code G and clicking on them brings you to the combined searches. Note that not all publications use JEL codes, so you will be able to find more finance studies with a full text search, search by keyword, or maybe by data source. The list of data sources so far is very incomplete, but it's a wiki, anyone can expand it in any direction. You can also make suggestions. And you can vote (anonymously) which studies should be replicated.

Note that the Critical Finance Review has a special focus on replications.

Uploading code is also possible at repositories like GitHub or the Open Science Framework but so far there is no focus on finance there.

runmycode.org has data and code for a number of published finance papers but it is meant to be the authors' own material.

|improve this answer
$\endgroup$
2
$\begingroup$

You could consider he fairly-recently started ReScience initiative which has exactly this in mind:

ReScience is a peer-reviewed journal that targets computational research and encourages the explicit replication of already published research, promoting new and open-source implementations in order to ensure that the original research is reproducible.

As far as I know there have not been any finance/quant submissions.

|improve this answer
$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.