My Server Setup

Sep 2, 2019
Hugo, Static Site

Site Setup This site is powered by Hugo, served by Apache. I moved away from WordPress because it’s too heavy for a personal site. It’s also slow and I could not find a theme that suits the purpose of the site. So, eventually I’m with Hugo and using markdown for everything. The setup is very simple: Download Hugo from GitHub. Note that we need the extended version. $ wget https://github. ...

Minimum Variance Hedge Ratio

Aug 31, 2019
Hedging, Cross Hedge, Minimum Variance Hedge Ratio

This post briefly explains what’s the minimum variance hedge ratio and how to derive it in a cross hedge, where the asset to be hedged is not the same as underlying asset. The Hedge Ratio $h$ The hedge ratio $h$ is the ratio of the size of the hedging position to the exposure of the asset to be hedged: $N_A$: the units of asset held to be hedged ($A$), i. ...

LeGao to Make Your Own LEGO Mosaics

Aug 27, 2019

I made an online app that turns a picture into a LEGO mosaic, available at A few weeks ago, I went to the new LEGO flagship store at Bondi with my fiancee, Sherry, and we were impressed by the LEGO Mosaics – Sydney Harbour Bridge and Opera House in sunset, designed by Ryan McNaught (photo credit: This mosaic is made of 62,300 bricks and took 282 hours to build. ...

Identify Chinese State-Owned Enterprise using CSMAR

Aug 6, 2019

Many research papers on Chinese firms include a control variable that indicates if the firm is a state-owned enterprise (SOE). This is important as SOEs and non-SOEs differ in many aspects and may have “structural differences”. This post documents the way to construct this indicator variable from the CSMAR databases. Specifically, we need the CSMAR China Listed Firms Shareholders - Controlling Shareholders dataset. On WRDS, this dataset is named hld_contrshr, located at /wrds/csmar/sasdata/hld. ...

When Costly Small Loans are the Best Option

Jul 31, 2019
Small Loan, Case Study

This is a case study about why sometimes a costly small loan may be the only way out for certain people, adapted from the report of Trends in the Australian Small Loan Market by the Australian Centre for Financial Studies. I add some discussions and further questions in the end. Case Study Background Alice is a single mom with children who relies only on Centrelink payments. Her refrigerator suddenly broke and she needs a new one as soon as possible before the frozen food for the family perishes. ...

Decomposing Herfindahl–Hirschman (HHI) Index

Jul 23, 2019

Herfindahl–Hirschman (HHI) Index is a well-known market concentration measure determined by two factors: 1) the size distribution (variance) of firms and 2) the number of firms. Intuitively, having a hundred similar-sized gas stations in town means a far less concentrated environment than just one or two available, and when the number of firms is constant, their size distribution or variance determines the magnitude of market concentration. Since these two properties jointly determine the HHI measure of concentration, naturally we want a decomposition of HHI that can reflects these two dimensions respectively. ...

Password Encoding and Remote Submission - WRDS/SAS Tutorial (1)

Jul 22, 2019
WRDS/SAS Tutorial

Most junior research students did not have any experience with data manipulation and analysis with SAS and the Wharton Research Data Services (WRDS), which motivates me about this tutorial series. I am a strong supporter for open data and I firmly believe that researchers should publish the dataset and source code they used to get their results. This is because reproducibility is just critical in any scientific study. As such, I tend to make sure that every program I write is well-documented and self-executable, especially those using data from WRDS. ...

Uncommon Job Titles

Jul 18, 2019

When we talk about C suite, we normally think of CEO (Chief Executive Officer), CFO (Chief Financial Officer), COO (Chief Operating Officer), CIO (Chief Investment Officer), etc. But sometimes there’re rather uncommon titles given to the senior managers. I came across some like: “Chief Deception Officer” “Chief Interactive Officer” “Chief People Officer” “Chief Knowledge and Client Value Officer” “Chief Learning Officer” “Chief Instruction Officer” It is kinda hard for me to understand what exactly do they do simply from looking at these job titles. ...

Auto-Tabulate Regression Results in Stata for Publication

Jun 21, 2019

This post describes a convenient way to automate the tabulation of regression outputs in Stata for publication. Setup and Usage First, you’ll need to be familiar with program in Stata, which essentially is a function or macro to be called elsewhere in the .do file. What I like to do is to store all control variables in a macro controls. For example, let’s control for Tobin’s Q, firm size, book leverage, cash holding, sales and ROA. ...

Checklist for Writing Your Assignment/Report/Essay

Jun 20, 2019

This is a continuously updated checklist for students writing their assignments, reports and essays. Disclaimer I prepare this document out of my 3-year experience of marking thousands of assignments, reports, essays and exam papers. However, it should be considered as my personal opinions and does not constitute a marking rubric. You should always follow the official instructions by your course coordinator. The actual marking criteria may or may not include any of the following. ...