PyAnomaly

PyAnomaly is a Python library for asset pricing research.

If you use PyAnomaly for your research, please let us know (chulwoo.han@skku.edu).

Introduction

• About
• Main Features
• Coverage
  • Markets
  • Firm Characteristics
• Structure
• System Requirement
• Comparison to Other Sources
  • Comparison to the SAS code of Jensen et al. (2021)
• References
• Useful Links
• Glossary
• Contributors
• Featured In

How to Use

• Installation
• Generating Characteristics
  • Process Flow
  • Mapping File
  • Output Files
• Cookbook
  • Example 1. Generating firm characteristics
  • Example 2. Sorting-based portfolio analysis
  • Example 3. Quantile portfolio construction and evaluation
  • Example 4. Defining a new characteristic
  • Example 5. Firm characteristics using year-end ME
  • Example 6. Playing with Panel
  • Example 7. Table download
• Bulding Your Own
  • Coding Rule
  • Performance Tips

API

• pyanomaly
  • analytics
  • characteristics
  • config
  • datatools
  • factors
  • ff
  • fileio
  • globals
  • log
  • numba_support
  • panel
  • portfolio
  • tcost
  • util
  • wrdsdata

Support

• Support
• Changelog