Democratize Data For Insights

When Earnings Announcements Go After 4 PM

Trace minute-level price discovery in the after-hour market

Posted by Mengjie Xu on Monday, July 1, 2024

Get Insights into Workplace Environment Through the Lens of Glassdoor

Workflows for parsing comprehensive Glassdoor dataset

Posted by Mengjie Xu on Friday, December 1, 2023

Tracing The Origins of EDGAR Downloads

How to distinguish EDGAR downloads from different stakeholders

Posted by Mengjie Xu on Monday, July 31, 2023

Gain Insights From Organized Retail Investors in Reddit Wallstreetbets

A systematic approach for analyzing Reddit Wallstreetbets comments

Posted by Mengjie Xu on Sunday, July 2, 2023

Replicate Brogaard Stock Volatility Decomposition

Produce the stock information content measures introduced by Brogaard et al. (2022, RFS)

Posted by Mengjie Xu on Tuesday, January 10, 2023

Dig into Estimation of VAR Coefficients, IRFs, and Variance Decomposition in Stata

Manually compute all the major outputs of VAR

Posted by Mengjie Xu on Monday, January 9, 2023

Estimations of VAR, IRFs, and Variance Decomposition in Stata

Common practice of VAR estimation in Stata

Posted by Mengjie Xu on Monday, January 9, 2023

Touch into the Vector Auto Regression Model

The logics of VAR, Impulse Reaction, and Variance Decomposition

Posted by Mengjie Xu on Tuesday, November 22, 2022

Theory for the information-based decomposition of stock price

Theoretical techniques in variance decomposition method proposed by Brogaard et al. (2022, RFS)

Posted by Mengjie Xu on Monday, November 21, 2022

Seeking Alpha From Market Participants' Information Acquisition Actions

Trace information acquisition actions of both retail and institutional investors

Posted by Mengjie Xu on Thursday, September 8, 2022

Collect Daily Level Short Sale Data From FINRA With Low Costs and Low Delay

Affordable and high-quality daily-level short selling data collection

Posted by Mengjie Xu on Saturday, May 14, 2022

Utilize Google Search as an Integrated Data Source

A standardized approach for unformatted data collection

Posted by Mengjie Xu on Thursday, March 31, 2022

Extract High-frequency Data via PC SAS

Request trade and quotes data from WRDS-TAQ database for intra-day event study

Posted by Mengjie Xu on Friday, December 3, 2021

Twitter API: Door To Social Media Analysis I

Introduction to Twitter API v2

Posted by Mengjie Xu on Monday, November 1, 2021

Twitter API: Door To Social Media Analysis II

Replicate Tweets Archive Search of Bartov, Faurel, and Mohanram (2018, TAR)

Posted by Mengjie Xu on Monday, November 1, 2021

Origins of Papers

Information sources that might have inspired nice economic papers

Posted by Mengjie Xu on Wednesday, October 20, 2021

Exploit WRDS Cloud via Python

Make your WRDS data extraction and processing replicable

Posted by Mengjie Xu on Tuesday, October 12, 2021

Extract Mass Data Via Bloomberg API

Operation Environment Preparation and Data Extracting

Posted by Mengjie Xu and Qi Zhang on Thursday, July 8, 2021

Obtain Searched Results From WSJ Website

A shortcut to get anecdotes for your paper

Posted by Democratize Data For Insights on Wednesday, June 30, 2021

From NOAA ISD Dataset to Panel Data

China stations as an example

Posted by Mengjie Xu on Tuesday, June 15, 2021

My name is Mengjie Xu. I obtained my PhD from the Frankfurt School of Finance & Management in April 2024 and will join Duke University as an Assistant Professor in Accounting.