Open-source code by Vincent Grégoire

My publicly available code is distributed through GitHub. You can also find some of my tutorials on my blog, Vincent Codes Finance.

Select Projects

MeatPy

Market Empirical Analysis Toolbox for Python. The goal of this project is to provide a standard framework for processing and analysing high-frequency limit order book data.

faceoff

A terminal user interface (TUI) application for following NHL hockey games in real-time.

daflip

CLI tool to convert data files between different formats (SAS, CSV, Excel, JSON, Parquet, etc.)

Quarto Comments

An extension that adds collaboration-friendly annotations to Quarto documents.

unbiasedness

A Python module to estimate unbiasedness regressions in Python.

Code from Papers

2022

Price Revelation from Insider Trading: Evidence from Hacked Earnings News

Journal of Financial Economics, 143(3), 2022

2022

How is Earnings News Transmitted to Stock Prices?

Journal of Accounting Research, 60(1), 2022

2024

Nonstandard Errors

Journal of Finance, 79(3), 2024