fkempf92 / FactorData
Calculates 103 firm characteristics from CRSP + Compustat directly in Python – no WRDS SAS cloud
☆31Updated 2 years ago
Alternatives and similar repositories for FactorData:
Users that are interested in FactorData are comparing it to the libraries listed below
- Calculate U.S. equity (portfolio) characteristics☆86Updated 6 months ago
- ☆23Updated 7 years ago
- ☆68Updated 2 years ago
- Code to quickly process and generate various data from the intraday TRACE corporate bond data from WRDS.☆47Updated 3 months ago
- Example code of simple things one can do with our open-source asset pricing data☆52Updated 5 months ago
- Replication of momentum strategy☆15Updated 2 years ago
- Replication Code for Identifying Price Informativeness☆13Updated 3 years ago
- Empirical Data and Some Simulation Codes☆101Updated 5 years ago
- Python modules for time-series analysis and empirical asset pricing.☆16Updated 4 years ago
- Financial research data services for academics.☆87Updated 3 weeks ago
- MATLAB Toolkit that accompanies Novy-Marx and Velikov (2023)☆29Updated 2 years ago
- Accompaniment to nowcasting benchmark paper, illustrating how to estimate each of the methods examined in either R or Python.☆43Updated last year
- US equity (portfolio) characteristics, the main file is in SAS.☆17Updated last year
- A repository for machine learning based investment strategies☆28Updated 5 years ago
- Multivariate DCC-GARCH model☆15Updated 6 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 8 years ago
- Functions to convert (WRDS) SAS data to PostgreSQL, parquet, and CSV☆18Updated 7 months ago
- ☆9Updated 4 years ago
- ☆25Updated last year
- ☆28Updated 4 years ago
- This code show the SVAR results from the paper: "Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply …☆25Updated last year
- Pricing the Term Structure with Linear Regressions☆36Updated 7 years ago
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆48Updated 4 years ago
- Python codes to create firm characteristics and returns pulling from Compustat, CRSP, and IBES through WRDS☆13Updated 4 years ago
- Resources for a PhD class module focused on anomalies.☆14Updated 8 months ago
- Empirical asset pricing via Machine Learning in the Korean market☆35Updated 11 months ago
- Code for "Methodological Uncertainty in Portfolio Sorts".☆17Updated 8 months ago
- qmoms package to compute option-implied moments from surface data☆16Updated 9 months ago
- ☆23Updated last week