christianjauregui / famafrenchView external linksLinks
Python package designed to construct and replicate datasets from Ken French's online library by accessing WRDS remotely through its cloud server "wrds-cloud".
☆40Dec 16, 2025Updated 2 months ago
Alternatives and similar repositories for famafrench
Users that are interested in famafrench are comparing it to the libraries listed below
Sorting:
- ☆15Sep 5, 2020Updated 5 years ago
- Python modules for time-series analysis and empirical asset pricing.☆18May 16, 2020Updated 5 years ago
- Python Interface for querying WRDS datasets (CRSP, COMPUSTAT)☆11Mar 15, 2014Updated 11 years ago
- Fama French model on a subset of Canadian Equity data with Python☆49Apr 11, 2019Updated 6 years ago
- Code to get data from WRDS to PostgreSQL☆51Updated this week
- Resources for a PhD class module focused on anomalies.☆19Jun 7, 2024Updated last year
- The Adaptive Multi-Factor (AMF) asset pricing model with the Groupwise Interpretable Basis Selection (GIBS) algorithm.☆10Dec 12, 2021Updated 4 years ago
- Functions to convert (WRDS) SAS data to PostgreSQL, parquet, and CSV☆19Updated this week
- Read WRDS datasets remotely (from wrds-cloud) into a Pandas dataframe.☆148Nov 18, 2025Updated 2 months ago
- ☆24Dec 2, 2021Updated 4 years ago
- ☆24Aug 19, 2017Updated 8 years ago
- Implementation of 5-factor Fama French Model☆138Feb 25, 2021Updated 4 years ago
- Materials for the mini-course on deep learning and macro-finance.☆22Jul 1, 2024Updated last year
- ☆13Jan 26, 2024Updated 2 years ago
- archived : use csdid instead☆12Mar 3, 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
- ☆12May 20, 2023Updated 2 years ago
- Replicate "Bond Risk Premia" by John H. Cochrane, Monika Piazzesi in Python☆12Apr 12, 2023Updated 2 years ago
- Use total, upper, down, relative volatility factors to find Alpha. Implement whole trading process & back-test with visualization.☆12May 30, 2021Updated 4 years ago
- Imputing missing stock anomalies data with EM implementation☆15Feb 19, 2024Updated last year
- Codes to clean data and construct variables for empirical finance.☆12Sep 14, 2021Updated 4 years ago
- ANN-based Expectations Algorithm applied to the Neoclassical Investment Model☆10Mar 15, 2023Updated 2 years ago
- A Qt port of the peak detection algorithm demo from https://stackoverflow.com/a/22640362, with interactive parameters.☆11Jan 4, 2023Updated 3 years ago
- A database on VC-backed startups from Ewens and Malenko (2025)☆13Feb 15, 2025Updated last year
- Source code for Deep Partial Least Squares for Empirical Asset Pricing.☆15Jun 22, 2022Updated 3 years ago
- A pipeline to optimize a portfolio of assets and test it against unseen data.☆14Jan 17, 2020Updated 6 years ago
- ☆11Mar 19, 2018Updated 7 years ago
- ☆15Feb 16, 2023Updated 3 years ago
- Calculates 103 firm characteristics from CRSP + Compustat directly in Python – no WRDS SAS cloud☆37Feb 9, 2023Updated 3 years ago
- Python code for Robust Identification of Investor Beliefs☆14Jan 6, 2021Updated 5 years ago
- ☆16Jul 22, 2021Updated 4 years ago
- Calculate U.S. equity (portfolio) characteristics☆107Aug 9, 2024Updated last year
- Fama French 3 Factor Model☆42Feb 3, 2016Updated 10 years ago
- US equity (portfolio) characteristics, the main file is in SAS.☆20Dec 21, 2023Updated 2 years ago
- Reproduction of the paper "Deep Attentive Learning for Stock Movement Prediction From Social Media Text and Company Correlations"☆12Jul 6, 2023Updated 2 years ago
- A package to sort stocks into portfolios and calculate weighted-average returns.☆18Jul 24, 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
- Parameters for intangible capital accumulation and data on intangible stocks (Ewens, Peters and Wang (2020))☆18Oct 26, 2023Updated 2 years ago
- Replication of momentum strategy☆20Jun 14, 2022Updated 3 years ago