OpenSourceAP / CrossSectionDemos
Example code of simple things one can do with our open-source asset pricing data
☆51Updated 6 months ago
Alternatives and similar repositories for CrossSectionDemos:
Users that are interested in CrossSectionDemos are comparing it to the libraries listed below
- Replication of momentum strategy☆18Updated 2 years ago
- Calculate U.S. equity (portfolio) characteristics☆86Updated 7 months ago
- Code to quickly process and generate various data from the intraday TRACE corporate bond data from WRDS.☆47Updated 4 months ago
- Pricing the Term Structure with Linear Regressions☆37Updated 7 years ago
- ☆26Updated last year
- ☆69Updated 2 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 8 years ago
- qmoms package to compute option-implied moments from surface data☆16Updated 10 months ago
- MATLAB Toolkit that accompanies Novy-Marx and Velikov (2023)☆32Updated 2 years ago
- Python modules for time-series analysis and empirical asset pricing.☆17Updated 4 years ago
- ☆23Updated 7 years ago
- ☆43Updated 6 months ago
- Replication of key GARCH model papers☆33Updated 9 years ago
- Python package designed to construct and replicate datasets from Ken French's online library by accessing WRDS remotely through its cloud…☆38Updated 7 months ago
- Calculates 103 firm characteristics from CRSP + Compustat directly in Python – no WRDS SAS cloud☆31Updated 2 years ago
- Code for "Is There a Replication Crisis in Finance" by Jensen, Kelly and Pedersen (2023)☆287Updated last week
- Replication of https://ssrn.com/abstract=3984925☆30Updated 11 months ago
- Financial research data services for academics.☆88Updated last month
- US equity (portfolio) characteristics, the main file is in SAS.☆18Updated last year
- ☆102Updated 3 years ago
- Code for "Methodological Uncertainty in Portfolio Sorts".☆17Updated 9 months ago
- Functions to convert (WRDS) SAS data to PostgreSQL, parquet, and CSV☆18Updated 7 months ago
- Empirical Data and Some Simulation Codes☆101Updated 5 years ago
- Python Package: Fitting and Forecasting the yield curve☆36Updated 4 years ago
- Replication Code for Identifying Price Informativeness☆13Updated 4 years ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆26Updated 3 years ago
- Code to get data from WRDS to PostgreSQL☆47Updated 4 months ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆49Updated 4 years ago
- This course, taught by Prof.Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading), …☆48Updated 6 years ago
- empirical asset pricing☆45Updated last year