Andrew Chen (@achenfinance) / X

Andrew Chen

1,694 posts

Andrew Chen

@achenfinance

Blue collar financial economist (codes, debugs, daily) @federalreserve. openassetpricing.com. Bitter Lesson Pilled. 🇺🇸! Views are my own.

Washington, DC

sites.google.com/site/chenandre…

Joined January 2016

Pinned
Andrew Chen
@achenfinance
Apr 21
I've revised the AI-generated "Hedging the Singularity" paper and algo. My goal was "human as Clockmaker": I set up the agentic loop, and then AI generates a paper good enough to put my name on it. I couldn't get there. It was both disappointing and relieving. 🧵
14K
Andrew Chen
@achenfinance
Jul 3, 2023
I still can’t get over how racist Harvard’s personality evaluations are. And without the lawsuit we might have never known.
1.7M
Andrew Chen
@achenfinance
Mar 20, 2021
Open source asset pricing is massively updated!! The code is so so much more user friendly now. Anyone w/ WRDS + Stata should be able to successfully replicate basically the entire cross-sectional predictability lit. Please spread the good word!! (1/5)
GitHub - OpenSourceAP/CrossSection: Code to accompany our paper Chen and Zimmermann (2020), "Open...
From github.com
Andrew Chen
@achenfinance
Jan 29, 2025
💥Introducing openassetpricing!💥 a Python package for easy-breezy access to the Open Source Asset Pricing dataset. Just `pip install openassetpricing` and openap = oap.OpenAP() df = openap.dl_port('quintiles_vw', 'pandas', ['BM', 'Mom12m']) and you've got B/M and momentum.
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Andrew Chen
@achenfinance
May 17, 2025
What a photo and headline
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Andrew Chen
@achenfinance
May 30, 2025
My new paper asks, "theorizing after looking at the data is bad, right?" Actually, post-hoc theorizing might be OPTIMAL in the modern era of huge datasets and mature theories. 🧵
32K
Andrew Chen
@achenfinance
Jun 30, 2023
The end of affirmative action is a bit emotional for me. My childhood was a sad time in a small town. I dreamed going to Harvard or a place like that would be my "ticket out." Thought I had the grades, sports, and arts for it. Later, I kept wondering if my race killed my dream.
109K
Andrew Chen
@achenfinance
Dec 18, 2023
That banger 🎸of a paper, Fama and French (1993), doesn't look like much of anything using data post-1993. The CAPM works about as well as their 3-factor model----using FF's original test portfolios! Bananas. H/T *Dino Palazzo* for discovering this. (1/4)
88K
Andrew Chen
@achenfinance
Jun 5, 2025
Claude Code can verify the accuracy of statements in your paper, by checking your code!!!😱 This is going to be a beautiful thing for replication.🥲
24K
Andrew Chen
@achenfinance
Apr 4, 2024
Latex using VScode + copilot is the way. It freaking does algebra for you!
29K
Andrew Chen
@achenfinance
Jan 3, 2024
Why do finance professors get paid more? Clerier, Vallee, and Vasilenko provide some fascinating charts. aeaweb.org/conference/202…
74K
Andrew Chen
@achenfinance
Sep 26, 2023
openbondassetpricing.com is a beautiful thing🥹Most economists "post code" by dumping uncommented scripts into a zip file. Some even purposefully obfuscate. @dickerson_phd posts code so that (1) anyone can run it (2) we can trust his results (3) we can build on them. Bravo👏
24K
Andrew Chen
@achenfinance
Aug 23, 2024
The 2024 release of the Open Source Asset Pricing dataset is up!! openassetpricing.com @TomZ_Econ+I closed 13 Github issues (github.com/OpenSourceAP/C…). Our t-stats still match the original papers nicely. I love the transparency of Github. Wish all research was done on it.
16K
Andrew Chen
@achenfinance
Feb 19, 2021
Tom and I are still working on updating "open source asset pricing" (papers.ssrn.com/sol3/papers.cf…) 😓. We're working so hard because we not only replicate t>2.0 for almost all anomalies, but now even replicate the t-stats themselves! Preview below. Code + data will be free!