cagdemir / firm-characteristics-calculation
Python codes to create firm characteristics and returns pulling from Compustat, CRSP, and IBES through WRDS
☆14Updated 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:
- ☆9Updated 5 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆15Updated 4 years ago
- Functions to convert (WRDS) SAS data to PostgreSQL, parquet, and CSV☆18Updated 10 months ago
- US equity (portfolio) characteristics, the main file is in SAS.☆20Updated last year
- Replicate "Bond Risk Premia" by John H. Cochrane, Monika Piazzesi in Python☆12Updated 2 years ago
- Calculates 103 firm characteristics from CRSP + Compustat directly in Python – no WRDS SAS cloud☆31Updated 2 years ago
- Imputing missing stock anomalies data with EM implementation☆12Updated last year
- ☆23Updated 7 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…☆11Updated 2 years ago
- Replication of momentum strategy☆18Updated 2 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆39Updated 4 years ago
- Python modules for time-series analysis and empirical asset pricing.☆18Updated 5 years ago
- Computational data tools for financial economics. Keywords: Jupyter notebook pandas Federal Reserve FRED Ferbus GDP CPI PCE inflation un…☆14Updated 8 years ago
- ☆14Updated 4 years ago
- Exploring economic and market regime forecasting using machine learning techniques and the CRISP-DM framework.☆12Updated last year
- Publicly available Python and Gretl code from posts at my blog Prognostikon☆8Updated last week
- A package to sort stocks into portfolios and calculate weighted-average returns.☆17Updated 2 years ago
- ☆37Updated last year
- ☆25Updated 3 months ago
- Replication of https://ssrn.com/abstract=3984925☆35Updated last year
- Financial research data services for academics.☆90Updated 3 months ago
- A python implementation of McCracken & Ng (2017) Matlab code which is used to estimate factor models and make predictions on the basis of…☆12Updated 5 years ago
- These are notes for macroeconomic analysis, summarised in past years for macro trading/analysis.☆29Updated 2 years ago
- Support financial data science workflow, manage large structured and unstructured data sets, and apply financial econometrics and machine…☆42Updated last month
- This guide aims to be a full instruction on how to download and merge Refinitiv (formerly Thomson Reuters) Datastream Worldscope data int…☆12Updated 4 years ago
- Replication Code for Identifying Price Informativeness☆13Updated 4 years ago
- Example code of simple things one can do with our open-source asset pricing data☆51Updated 8 months ago
- ☆16Updated 10 months ago
- Regime Based Asset Allocation with MPT, Random Forest and Bayesian Inference☆25Updated 2 years ago
- Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"☆31Updated 2 years ago