fkempf92 / FactorDataLinks
Calculates 103 firm characteristics from CRSP + Compustat directly in Python – no WRDS SAS cloud
☆35Updated 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☆98Updated last year
- ☆73Updated 2 years ago
- Replication of momentum strategy☆18Updated 3 years ago
- Example code of simple things one can do with our open-source asset pricing data☆54Updated last year
- US equity (portfolio) characteristics, the main file is in SAS.☆20Updated last year
- Imputing missing stock anomalies data with EM implementation☆13Updated last year
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 9 years ago
- Financial research data services for academics.☆96Updated last month
- ☆51Updated 7 months ago
- Python package designed to construct and replicate datasets from Ken French's online library by accessing WRDS remotely through its cloud…☆39Updated 2 months ago
- These are notes for macroeconomic analysis, summarised in past years for macro trading/analysis.☆30Updated 3 years ago
- Python modules for time-series analysis and empirical asset pricing.☆18Updated 5 years ago
- ☆29Updated last year
- ☆53Updated last month
- MATLAB Toolkit that accompanies Novy-Marx and Velikov (2023)☆41Updated 2 years ago
- Empirical Data and Some Simulation Codes☆105Updated 6 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆41Updated 4 years ago
- Replication Code for Identifying Price Informativeness☆13Updated 4 years ago
- ☆23Updated 8 years ago
- Replication of the 5 Fama-French factors as constructed in their 2015 paper.☆25Updated 3 years ago
- Python Nowcasting☆131Updated 4 years ago
- Python codes to create firm characteristics and returns pulling from Compustat, CRSP, and IBES through WRDS☆14Updated 5 years ago
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆50Updated 5 years ago
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138☆137Updated 4 years ago
- Replication of https://ssrn.com/abstract=3984925☆47Updated last year
- Functions to convert (WRDS) SAS data to PostgreSQL, parquet, and CSV☆19Updated last year
- Pricing the Term Structure with Linear Regressions☆41Updated 7 years ago
- Instrumented Principal Components Analysis☆235Updated 3 years ago
- Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"☆36Updated 2 years ago
- Code for "Is There a Replication Crisis in Finance" by Jensen, Kelly and Pedersen (2023)☆326Updated 7 months ago