fkempf92 / FactorDataLinks
Calculates 103 firm characteristics from CRSP + Compustat directly in Python – no WRDS SAS cloud
☆34Updated 2 years ago
Alternatives and similar repositories for FactorData
Users that are interested in FactorData are comparing it to the libraries listed below
Sorting:
- Calculate U.S. equity (portfolio) characteristics☆93Updated 11 months ago
- ☆71Updated 2 years ago
- US equity (portfolio) characteristics, the main file is in SAS.☆20Updated last year
- Replication Code for Identifying Price Informativeness☆13Updated 4 years ago
- Python package designed to construct and replicate datasets from Ken French's online library by accessing WRDS remotely through its cloud…☆39Updated 3 weeks ago
- Financial research data services for academics.☆95Updated 6 months ago
- Python Nowcasting☆127Updated 4 years ago
- These are notes for macroeconomic analysis, summarised in past years for macro trading/analysis.☆30Updated 3 years ago
- Example code of simple things one can do with our open-source asset pricing data☆53Updated 11 months ago
- ☆9Updated 5 years ago
- Imputing missing stock anomalies data with EM implementation☆13Updated last year
- Replication of momentum strategy☆18Updated 3 years ago
- Functions to convert (WRDS) SAS data to PostgreSQL, parquet, and CSV☆18Updated last year
- Empirical Data and Some Simulation Codes☆103Updated 6 years ago
- Python modules for time-series analysis and empirical asset pricing.☆18Updated 5 years ago
- ☆23Updated 7 years ago
- MATLAB Toolkit that accompanies Novy-Marx and Velikov (2023)☆41Updated 2 years ago
- Pricing the Term Structure with Linear Regressions☆40Updated 7 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 9 years ago
- Replication of the 5 Fama-French factors as constructed in their 2015 paper.☆24Updated 3 years ago
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138☆134Updated 4 years ago
- ☆27Updated last year
- Code for "Methodological Uncertainty in Portfolio Sorts".☆19Updated last year
- ☆45Updated 5 months ago
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆49Updated 5 years ago
- Code to quickly process and generate various data from the intraday TRACE corporate bond data from WRDS.☆51Updated 9 months ago
- Replication of https://ssrn.com/abstract=3984925☆43Updated last year
- A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.☆43Updated last year
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆39Updated 4 years ago
- 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