cagdemir / firm-characteristics-calculation
Python codes to create firm characteristics and returns pulling from Compustat, CRSP, and IBES through WRDS
☆12Updated 4 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
- US equity (portfolio) characteristics, the main file is in SAS.☆17Updated last year
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆13Updated 4 years ago
- ☆9Updated 4 years ago
- Functions to convert (WRDS) SAS data to PostgreSQL, parquet, and CSV☆18Updated 6 months ago
- Replication of momentum strategy☆14Updated 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…☆10Updated last year
- Calculates 103 firm characteristics from CRSP + Compustat directly in Python – no WRDS SAS cloud☆30Updated last year
- This guide aims to be a full instruction on how to download and merge Refinitiv (formerly Thomson Reuters) Datastream Worldscope data int…☆12Updated 3 years ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆24Updated 3 years ago
- Computational data tools for financial economics. Keywords: Jupyter notebook pandas Federal Reserve FRED Ferbus GDP CPI PCE inflation un…☆14Updated 7 years ago
- Replication of the 5 Fama-French factors as constructed in their 2015 paper.☆22Updated 2 years ago
- PhD 403: Empirical Asset Pricing☆26Updated 6 years ago
- A package to sort stocks into portfolios and calculate weighted-average returns.☆16Updated 2 years ago
- ☆15Updated 7 months ago
- ☆13Updated 4 years ago
- A python implementation of McCracken & Ng (2017) Matlab code which is used to estimate factor models and make predictions on the basis of…☆10Updated 5 years ago
- ☆23Updated 7 years ago
- ☆28Updated 3 years ago
- Replication Code for Identifying Price Informativeness☆12Updated 3 years ago
- Calculate U.S. equity (portfolio) characteristics☆84Updated 5 months ago
- Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"☆29Updated 2 years ago
- Publicly available Python and Gretl code from posts at my blog Prognostikon☆8Updated 3 weeks ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆16Updated 2 years ago
- ☆37Updated 8 months ago
- ☆39Updated 5 years ago
- Python modules for time-series analysis and empirical asset pricing.☆16Updated 4 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆25Updated 8 years ago
- These are notes for macroeconomic analysis, summarised in past years for macro trading/analysis.☆28Updated 2 years ago
- Source code for Deep Partial Least Squares for Empirical Asset Pricing.☆14Updated 2 years ago
- ☆20Updated 2 years ago