Code to generate all tables and figures of "Dissecting Market Expectations in the Cross-Section of Book-to-Market Ratios", Critical Finance Review (forthcoming).
Predictable Component Analysis as performed in the article Bombardi RJ, Trenary L, Pegion KV, Cash B, DelSole T, Kinter JL (2018) Seasonal predictability of summer rainfall over South America. J. Clim., 31 (20), 8181–8195. DOI: 10.1175/JCLI-D-18-0191.1 https://journals.ametsoc.org/doi/full/10.1175/JCLI-D-18-0191.1
Using historical BTC price data pulled from Binance API to explore and analyze its predictability as an asset using rather traditional indicators as model features.