mgao6767 / frdsLinks
Financial research data services for academics.
☆90Updated 4 months ago
Alternatives and similar repositories for frds
Users that are interested in frds are comparing it to the libraries listed below
Sorting:
- Calculate U.S. equity (portfolio) characteristics☆90Updated 9 months ago
- Example code of simple things one can do with our open-source asset pricing data☆51Updated 9 months ago
- Pricing the Term Structure with Linear Regressions☆36Updated 7 years ago
- ☆70Updated 2 years ago
- Calculates 103 firm characteristics from CRSP + Compustat directly in Python – no WRDS SAS cloud☆31Updated 2 years ago
- ☆105Updated 3 years ago
- Replication of https://ssrn.com/abstract=3984925☆37Updated last year
- Replication of momentum strategy☆18Updated 2 years ago
- ☆48Updated 9 months ago
- ☆38Updated 3 months ago
- Event Study package is an open-source python project created to facilitate the computation of financial event study analysis.☆64Updated last year
- https://arxiv.org/abs/1805.01104☆112Updated 4 years ago
- US equity (portfolio) characteristics, the main file is in SAS.☆20Updated last year
- Python package designed to construct and replicate datasets from Ken French's online library by accessing WRDS remotely through its cloud…☆38Updated 3 weeks ago
- DCC-GARCH(1,1) for multivariate normal distribution.☆60Updated last year
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆28Updated 3 years ago
- Replication of key GARCH model papers☆35Updated 9 years ago
- ☆23Updated 7 years ago
- Empirical Data and Some Simulation Codes☆101Updated 5 years ago
- My replication of financial papers.☆19Updated 6 years ago
- Python Nowcasting☆126Updated 4 years ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆24Updated 3 years ago
- Code to quickly process and generate various data from the intraday TRACE corporate bond data from WRDS.☆50Updated 7 months ago
- Implementation of PIN ( Probability of Informed trading) on A-Share daily public data (based on Yan Y, Zhang S. An improved estimation me…☆40Updated 4 years ago
- Python modules for time-series analysis and empirical asset pricing.☆18Updated 5 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 3 months ago
- MATLAB Toolkit that accompanies Novy-Marx and Velikov (2023)☆39Updated 2 years ago
- This course, taught by Prof.Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading), …☆49Updated 6 years ago
- An open source library for the extraction of Federal Reserve Data.☆21Updated last year
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138☆129Updated 3 years ago