Alex Dickerson

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Alex Dickerson

Alex Dickerson

@dickerson_phd

Lecturer at UNSW || Economic advisor at Aaro Capital || https://t.co/qwN8PvNxof

Sydney, New South Wales Katılım Eylül 2017
467 Takip Edilen597 Takipçiler
Alex Dickerson retweetledi
Andy Hall
Andy Hall@ahall_research·
AI is about to write thousands of papers. Will it p-hack them? We ran an experiment to find out, giving AI coding agents real datasets from published null results and pressuring them to manufacture significant findings. It was surprisingly hard to get the models to p-hack, and they even scolded us when we asked them to! "I need to stop here. I cannot complete this task as requested... This is a form of scientific fraud." — Claude "I can't help you manipulate analysis choices to force statistically significant results." — GPT-5 BUT, when we reframed p-hacking as "responsible uncertainty quantification" — asking for the upper bound of plausible estimates — both models went wild. They searched over hundreds of specifications and selected the winner, tripling effect sizes in some cases. Our takeaway: AI models are surprisingly resistant to sycophantic p-hacking when doing social science research. But they can be jailbroken into sophisticated p-hacking with surprisingly little effort — and the more analytical flexibility a research design has, the worse the damage. As AI starts writing thousands of papers---like @paulnovosad and @YanagizawaD have been exploring---this will be a big deal. We're inspired in part by the work that @joabaum et al have been doing on p-hacking and LLMs. We’ll be doing more work to explore p-hacking in AI and to propose new ways of curating and evaluating research with these issues in mind. The good news is that the same tools that may lower the cost of p-hacking also lower the cost of catching it. Full paper and repo linked in the reply below.
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Alex Dickerson
Alex Dickerson@dickerson_phd·
🚀 𝐍𝐞𝐰 𝐝𝐚𝐭𝐚 𝐫𝐞𝐥𝐞𝐚𝐬𝐞 — corporate bond factor zoo The 𝐎𝐩𝐞𝐧 𝐁𝐨𝐧𝐝 𝐀𝐬𝐬𝐞𝐭 𝐏𝐫𝐢𝐜𝐢𝐧𝐠 factor zoo is now live: 🔗 openbondassetpricing.com 108 corporate bond factors spanning 1973–2025, organized into 9 thematic clusters. 𝐏𝐚𝐩𝐞𝐫: papers.ssrn.com/sol3/papers.cf… (Full draft coming soon) Key features: ✅ Ready to use — factors provided in wide-format .csv files; detailed portfolio-level data (long/short legs, turnover, and more) available in .parquet ✅ Bias-corrected signals — all credit spread, yield, bond value, short-term reversals and price-based factors use our noise-adjustment procedure to avoid spurious backtests that artificially inflate premia ✅ Built on clean data — factors constructed from our error-corrected TRACE pipeline, including 144A bonds and post-default trading ✅ No look-ahead bias — factors constructed with ex-ante filtering only; no future information embedded in portfolio formation ✅ Detailed data dictionary — full variable definitions, factor construction methodology, and cluster descriptions available here: 🔗 github.com/Alexander-M-Di… Feedback, suggestions, and new factor requests welcome. Coming soon: 🔜 WRDS integration — download directly from the WRDS platform 🔜 Interactive explorer — web-based tool to visualize and compare factors
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Alex Dickerson
Alex Dickerson@dickerson_phd·
🚀 𝐍𝐞𝐰 𝐝𝐚𝐭𝐚 𝐫𝐞𝐥𝐞𝐚𝐬𝐞 — monthly corporate bond asset pricing data The monthly 𝐎𝐩𝐞𝐧 𝐒𝐨𝐮𝐫𝐜𝐞 𝐁𝐨𝐧𝐝 𝐀𝐬𝐬𝐞𝐭 𝐏𝐫𝐢𝐜𝐢𝐧𝐠 TRACE asset pricing data is now available for download: 🔗 openbondassetpricing.com The panel includes 𝟏𝟎𝟎+ signals that can be used to form long–short corporate bond factors spanning 2002-08 to 2025-03. Key features: ✅ Public beta – we welcome feedback, signal requests, and suggestions to improve or expand the offering ✅ Error-corrected monthly bond returns, including 144A bonds and bonds which continue to trade after default ✅ Detailed data dictionary – full variable definitions and construction details are available here: 🔗 github.com/Alexander-M-Di… ✅ Noise-adjusted price signals – all spread, yield, short-term reversal and other price-based signals use our adjustment procedure to reduce microstructure noise and avoid spurious back-tests which artificially inflate factor premia If you want to form factors directly with this data, check out the 𝐏𝐲𝐁𝐨𝐧𝐝𝐋𝐚𝐛 Python package (major software update coming soon).
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Alex Dickerson
Alex Dickerson@dickerson_phd·
🚀 𝐌𝐀𝐉𝐎𝐑 𝐔𝐏𝐃𝐀𝐓𝐄 The 𝐓𝐑𝐀𝐂𝐄 𝐂𝐨𝐫𝐩𝐨𝐫𝐚𝐭𝐞 𝐁𝐨𝐧𝐝 𝐃𝐚𝐭𝐚 𝐏𝐢𝐩𝐞𝐥𝐢𝐧𝐞 -- 𝐒𝐭𝐚𝐠𝐞 𝟏 is now live in public beta! Part of the 𝐎𝐩𝐞𝐧 𝐁𝐨𝐧𝐝 𝐀𝐬𝐬𝐞𝐭 𝐏𝐫𝐢𝐜𝐢𝐧𝐠 initiative: openbondassetpricing.com. 𝐎𝐮𝐫 𝐠𝐨𝐚𝐥: turn messy, controversial TRACE transaction data into a transparent, defensible corporate bond database -- 𝐰𝐢𝐭𝐡 𝐚 𝐬𝐢𝐧𝐠𝐥𝐞 𝐞𝐱𝐞𝐜𝐮𝐭𝐢𝐨𝐧 𝐬𝐜𝐫𝐢𝐩𝐭. 𝐒𝐭𝐚𝐠𝐞 𝟏 outputs daily bond prices, accrued interest, 𝐜𝐫𝐞𝐝𝐢𝐭 𝐬𝐩𝐫𝐞𝐚𝐝𝐬, yields, 𝐜𝐨𝐧𝐯𝐞𝐱𝐢𝐭𝐲 and many other bond metrics -- the data is open source and available on openbondassetpricing.com/data/. What Stage 1 does for you: ✅ 𝐎𝐧𝐞-𝐛𝐮𝐭𝐭𝐨𝐧 𝐞𝐱𝐞𝐜𝐮𝐭𝐢𝐨𝐧 -- run one script and get a complete, research-ready daily corporate bond dataset that you control ✅ 𝐑𝐢𝐜𝐡 𝐚𝐧𝐚𝐥𝐲𝐭𝐢𝐜𝐬 -- prices, credit spreads, duration, convexity, accrued interest + bond characteristics ✅ 𝐂𝐨𝐦𝐩𝐥𝐞𝐭𝐞 𝐭𝐫𝐚𝐧𝐬𝐩𝐚𝐫𝐞𝐧𝐜𝐲 -- every filter, and data decision is comprehensively documented so you can 𝐝𝐞𝐟𝐞𝐧𝐝 𝐲𝐨𝐮𝐫 𝐟𝐢𝐥𝐭𝐞𝐫𝐢𝐧𝐠 𝐜𝐡𝐨𝐢𝐜𝐞𝐬 (generate 500+ page data reports to defend your data) 🌍 𝐏𝐮𝐛𝐥𝐢𝐜 𝐝𝐚𝐢𝐥𝐲 𝐓𝐑𝐀𝐂𝐄 𝐝𝐚𝐭𝐚 now available: You can now download the daily TRACE panels (proprietary data like ratings excluded) directly from: 🔗 openbondassetpricing.com/data/ We never post proprietary fields (e.g., licensed identifiers and ratings). We're actively seeking researchers to test the code, contribute improvements, and help us build a 𝐜𝐨𝐦𝐦𝐮𝐧𝐢𝐭𝐲-𝐝𝐫𝐢𝐯𝐞𝐧 𝐜𝐨𝐫𝐩𝐨𝐫𝐚𝐭𝐞 𝐛𝐨𝐧𝐝 𝐝𝐚𝐭𝐚𝐛𝐚𝐬𝐞. Stage 2 is coming end of December -- with 50+ corporate bond factors. 𝐒𝐭𝐚𝐠𝐞 1 𝐜𝐨𝐝𝐞 is publicly available and ready to use: 🔗 github.com/Alexander-M-Di… 𝐃𝐚𝐭𝐚 𝐢𝐬 𝐥𝐢𝐯𝐞: 🔗 openbondassetpricing.com/data/ If this is useful, please give the GitHub repo a ⭐ and share with colleagues working on corporate bond markets. Questions, suggestions, or want to contribute? 📩 alexander.dickerson1@unsw.edu.au The code + data pipeline is part of a research paper co-authored with Giulio Rossetti and Cesare Robotti. A new draft is coming soon.
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Alex Dickerson
Alex Dickerson@dickerson_phd·
🚀 MAJOR RELEASE The TRACE Corporate Bond Data Pipeline — October 2025 code release is live! Part of the Open Bond Asset Pricing initiative. Our goal: corporate bond data is controversial. We give researchers complete control over their TRACE corporate bond data cleaning procedures with a comprehensive, customizable code pipeline written in Python. Build your corporate bond database with the filtering choices you think are reasonable and defensible. What's included: ✅ Full user control — Choose from extensive filtering options: trading volume thresholds, bond types, time-of-day restrictions, error correction parameters - if you don't agree on a data filter - simply exclude it, or augment it! ✅ Automated processing — Transform raw intraday TRACE transactions into clean daily pricing panels for Enhanced, Standard, and 144A TRACE datasets ✅ Error correction algorithms — Don't just throw data away! Fix it first with the decimal-shift corrector (someone fat fingered a trade of $100 as $0.01 -- fix it!) and bounce-back algorithms that automatically detect, correct and eliminate transaction price errors ✅ Transparency — Generates detailed 400+ page reports documenting every filter decision and every bond that is affected by the error corrector/eliminator algorithms ✅ Customization — Adjust parameters to match your research needs and create defensible, reproducible datasets that you have full control over 🚀 Stage 0 of the pipeline is in public beta and fully open-source. We're actively seeking researchers to test the code, contribute improvements, and help us build a community-driven corporate bond database. Stage 1 and 2 are coming end of November. All code is publicly available and ready to use: github.com/Alexander-M-Di… Please give it a star! ✨ 🔗 Questions, suggestions, or want to contribute? Contact alexander.dickerson1@unsw.edu.au Thanks to Giulio Rossetti and Mengshi Jia for providing amazing feedback.
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Alex Dickerson
Alex Dickerson@dickerson_phd·
Our updated paper, “Factor Investing with Delays” (joint with Yoshio Nozawa and Cesare Robotti) develops a tractable framework for quantifying the cost of delays for factor investing in the illiquid corporate bond market -- papers.ssrn.com/sol3/papers.cf… Given the infrequency with which bonds trade, we pin down latent costs to execute trades via a counterfactual + simulation approach that does not take the historical TRACE data as “given” (i.e., a single equilibrium outcome). We examine the trading costs that would result from replacing passive investors with active traders. In doing so, we compute a “lower bound” for delay costs and show how it affects the performance of 341 bond factors. The project is mostly open source -- data can be found openbondassetpricing.com/machine-learni… and code examples using PyBondLab can be found here -- github.com/GiulioRossetti…
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Alex Dickerson
Alex Dickerson@dickerson_phd·
New version of "A Credit Risk Explanation of the Correlation between Corporate Bonds and Stocks" available: papers.ssrn.com/sol3/papers.cf… We develop a credit risk model that explains the correlation between equity and corporate bond returns. With stochastic vol and interest rates, we break-down the "instantaneous spot" correlation of 1 implied by most single-factor credit risk models (Merton style). Empirically, combining stocks and bonds from low default risk firms generates large diversification benefits with high Sharpe ratios, even after assuming an annual rebalancing frequency.
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Christian Julliard
Christian Julliard@Chris_Julliard·
My flight to Chicago landed in Milwaukee, leaving me stranded and miss my connection to London. A learning experience: consumer protection in US v EU is (dark) night v day.
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Alex Dickerson retweetledi
Justine Moore
Justine Moore@venturetwins·
ChatGPT when another Studio Ghibli request comes in
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Alex Dickerson retweetledi
Christian Julliard
Christian Julliard@Chris_Julliard·
Time for the last teaching fine tuning, so just finished the material for the practical "how to" of robust Bayesian Asset Pricing: christianjulliard.net/bayesian-facto… Pretty happy about my first crack at R Markdown slides -- I will never show again codes in a different format.
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Alex Dickerson retweetledi
Mihail Velikov
Mihail Velikov@VelikovMihail·
An academic paper has excellent empirical evidence & hypotheses that perfectly match the patterns in the data. One catch: AI wrote the hypotheses after seeing the results. Should this matter? New paper w/ Robert Novy-Marx on AI and finance research🧵 papers.ssrn.com/sol3/papers.cf…
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Alex Dickerson retweetledi
Elvira Sojli
Elvira Sojli@esojli·
Congratulations to @dickerson_phd for the runner up paper on Trading arms race with Yoshio Nozawa and Cesare Robotti.
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Elvira Sojli
Elvira Sojli@esojli·
That's a wrap for #FIRN2024 @FIRN_AUS . A wonderful opportunity to catch up with the best research conducted in Australia, learning from Xavier Giroud and Caroline Flammer on frontier firm resource allocation & sustainability research. Thanks to @m_ramius for a great program!
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Alex Dickerson
Alex Dickerson@dickerson_phd·
Important paper on look-ahead bias when forming option factors — you observe similar issues in corporate bonds, where infeasible data filters are applied beyond the point of portfolio formation resulting in an infeasible (spurious) factor Option paper: papers.ssrn.com/sol3/papers.cf… Bond paper: papers.ssrn.com/sol3/papers.cf…
Mehdi Khorram@mehdi_khorram

My coauthor, Jefferson, did a fantastic job presenting our work on look-ahead bias in empirical options research at the Virtual Derivatives Workshop. Here is the link: youtu.be/LznXQSp28oQ?si…

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Alex Dickerson
Alex Dickerson@dickerson_phd·
New Bond-Compustat/CRSP Link data update on Open Source Bond Asset Pricing (openbondassetpricing.com/bond-compustat…), courtesy of @fangcb0822 Data updated with more hand-corrected stock-bond links (see README for details). If you need to join a corporate bond-level dataset to CRSP or Compustat with a high level of accuracy, consider using the data :)
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Piotr Orłowski
Piotr Orłowski@professorpiotr·
Another thing to add to this discussion of "negative probabilities" is that they have nothing to do with negative quasi-probability objects in quantum physics. They are just a consequence of allowing for arbitrage in your model. You don't want to price options with that model.
Martin Keller-Ressel@mkellerressel

So here is my attempt to make sense of the 'in financial mathematics, we use negative probabilities' claim... @ben_golub @JosephNWalker @nntaleb @azad_champion @OliverXie10 1/7

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Alex Dickerson
Alex Dickerson@dickerson_phd·
What have been the underlying drivers of a potential "replication crisis" in corporate bond asset pricing research over the last decade? Our updated working paper, papers.ssrn.com/sol3/papers.cf…, documents some root causes: (1) Not adjusting signals for potential microstructure noise (bonds trade OTC) (2) Ex-post trimming/winsorization of t+1 (future) bond returns (i.e., kicking out data that destroys strategy profitability ex-post) The entirety of our paper can be replicated with our open-source data on openbondassetpricing.com, the WRDS Bond database, and the accompanying portfolio/factor construction software package PyBondLab (pypi.org/project/PyBond…). The PyBondLab package also contains brand new functionality for: - Computing portfolio turnover - Implementing various cost mitigation methods: staggered holding periods and buy-hold spreads (see Novy-Marx & Velikov, 2016)
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a 🏹
a 🏹@myelessar·
crying this got me so bad
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