cagdemir / firm-characteristics-calculationView external linksLinks
Python codes to create firm characteristics and returns pulling from Compustat, CRSP, and IBES through WRDS
☆14Mar 1, 2020Updated 5 years ago
Alternatives and similar repositories for firm-characteristics-calculation
Users that are interested in firm-characteristics-calculation are comparing it to the libraries listed below
Sorting:
- Replication of "Taming the Factor Zoo: A Test of New Factors (Feng, Giglio, and Xiu, 2020, JF)"☆10Mar 4, 2024Updated last year
- Functions to convert (WRDS) SAS data to PostgreSQL, parquet, and CSV☆19Updated this week
- Learn Python for Economic Computation☆14Feb 24, 2025Updated 11 months ago
- Machine learning methods for identifing investment factors☆19Nov 9, 2021Updated 4 years ago
- Empirical asset pricing via Machine Learning in the Korean market☆46Mar 1, 2024Updated last year
- This is the repo accompanying the paper: "A multimodal model with Twitter FinBERT embeddings for extreme price movement prediction of Bit…☆12Jul 29, 2025Updated 6 months ago
- Python Implementation of the Paper "Attention based dynamic graph neural network for asset pricing" -Published in Global Finance Journal☆14Oct 11, 2023Updated 2 years ago
- This repository will be used to organize all the codes and notes written on the Empirical asset pricing course given at the school of eco…☆12Apr 11, 2023Updated 2 years ago
- A repository for machine learning based investment strategies☆28Nov 11, 2019Updated 6 years ago
- Calculates 103 firm characteristics from CRSP + Compustat directly in Python – no WRDS SAS cloud☆37Feb 9, 2023Updated 3 years ago
- Computational data tools for financial economics. Keywords: Jupyter notebook pandas Federal Reserve FRED Ferbus GDP CPI PCE inflation un…☆15May 1, 2017Updated 8 years ago
- Exploring economic and market regime forecasting using machine learning techniques and the CRISP-DM framework.☆17Aug 24, 2023Updated 2 years ago
- Enhanced Portfolio Optimization (EPO)☆17Mar 5, 2024Updated last year
- Calculate U.S. equity (portfolio) characteristics☆107Aug 9, 2024Updated last year
- Data Science Project: Replication of "Forest Through the Trees: Building Cross-Sections of Stock Returns" - creation of assets to test va…☆25Jul 30, 2023Updated 2 years ago
- A package to sort stocks into portfolios and calculate weighted-average returns.☆18Jul 24, 2022Updated 3 years ago
- Web app for pandas-ta indicators☆18Mar 18, 2024Updated last year
- Replication of momentum strategy☆20Jun 14, 2022Updated 3 years ago
- A python script to create a mapping table between I/B/E/S and Compustat☆18Oct 24, 2019Updated 6 years ago
- Code repository for "Machine Learning and the Implementable Efficient Frontier" by Jensen, Kelly, Malamud, and Pedersen (2024)☆21Mar 6, 2025Updated 11 months ago
- Phd repo☆18Jul 14, 2022Updated 3 years ago
- Support financial data science workflow, manage large structured and unstructured data sets, and apply financial econometrics and machine…☆48Apr 6, 2025Updated 10 months ago
- Regime Based Asset Allocation with MPT, Random Forest and Bayesian Inference☆25Oct 16, 2022Updated 3 years ago
- 'Portfolio Analysis, methods for portfolio optimization'☆24Jan 26, 2021Updated 5 years ago
- Visualization of the full depth of the order book along time☆21Dec 17, 2019Updated 6 years ago
- This repository hosts my reading notes for academic papers.☆97Jul 26, 2021Updated 4 years ago
- Collections of snippets for trading I find interesting☆28Jan 23, 2025Updated last year
- A highly scalable architecture to start your digital product in clean way☆13Jan 29, 2024Updated 2 years ago
- PhD 403: Empirical Asset Pricing☆28Dec 3, 2018Updated 7 years ago
- Second coursework & case from Sber Data Science competition. Links to scientific papers to which I will refer will be here.☆13Nov 12, 2021Updated 4 years ago
- ☆33Sep 12, 2025Updated 5 months ago
- Advanced Financial Econometrics - Trinity Term 2020☆32Mar 4, 2021Updated 4 years ago
- ☆11May 17, 2024Updated last year
- A research project and comparative study on various Active Noise Cancellation Algorithms like FxLMS, EMFN, Chebyshev filter and Hammerste…☆10Jul 3, 2022Updated 3 years ago
- A library of techniques for local interpretation of machine learning models☆10Mar 24, 2023Updated 2 years ago
- https://arxiv.org/abs/1805.01104☆122Dec 2, 2020Updated 5 years ago
- Estimate the frequency and severity of claims to compute prior and posterior premiums. The GLM method is used with Poisson, Negative Bin…☆10Apr 26, 2018Updated 7 years ago
- ☆41Jan 22, 2019Updated 7 years ago
- Code for "Is There a Replication Crisis in Finance" by Jensen, Kelly and Pedersen (2023)☆354Jan 8, 2026Updated last month