PyAnomaly

PyAnomaly is a Python library for asset pricing research.

If you use PyAnomaly for your research, please let us know (chulwoo.han@durham.ac.uk).

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
• Featured In

How to Use

• Installation
• Generating Characteristics
  • Process Flow
  • Mapping File
  • Output Files
• Cookbook
  • Example 1
  • Example 2
  • Example 3
  • Example 4
  • Example 5
  • Example 6
  • Example 7
• Bulding Your Own
  • Coding Rule

API

• pyanomaly
  • pyanomaly.analytics
    • append_long_short()
    • crosssectional_regression()
    • make_future_return()
    • make_long_short_portfolio()
    • make_portfolio()
    • make_position()
    • make_quantile_portfolios()
    • one_dim_sort()
    • relabel_class()
    • rolling_beta()
    • t_value()
    • time_series_average()
    • two_dim_sort()
    • weighted_mean()
  • pyanomaly.characteristics
    • pyanomaly.characteristics.FUNDA
      • FUNDA
    • pyanomaly.characteristics.FUNDQ
      • FUNDQ
    • pyanomaly.characteristics.CRSPM
      • CRSPM
    • pyanomaly.characteristics.CRSPD
      • CRSPD
    • pyanomaly.characteristics.Merge
      • Merge
  • pyanomaly.datatools
    • add_months()
    • classify()
    • classify_array()
    • compare_data()
    • filter()
    • filter_n()
    • groupby_apply()
    • groupby_apply_np()
    • inspect_data()
    • populate()
    • rolling_apply()
    • rolling_apply_np()
    • to_month_end()
    • trim()
    • trim_data()
    • winsorize()
    • winsorize_data()
  • pyanomaly.ff
    • make_ff_factors()
    • make_ff_factors_wrds()
  • pyanomaly.fileio
    • read_from_file()
    • write_to_file()
  • pyanomaly.jkp
    • generate_firm_characterisitcs()
    • make_char_portfolios()
    • make_factor_portfolio()
    • make_factor_portfolios()
    • prepare_data_for_factors()
  • pyanomaly.panel
    • Panel
      • Panel.data
      • Panel.freq
      • Panel.base_freq
      • Panel.char_map
      • Panel.reverse_map
      • Panel.add_row_count()
      • Panel.copy()
      • Panel.copy_from()
      • Panel.create_chars()
      • Panel.cumret()
      • Panel.date_col()
      • Panel.date_values()
      • Panel.diff()
      • Panel.filter()
      • Panel.futret()
      • Panel.get_available_chars()
      • Panel.id_col()
      • Panel.id_values()
      • Panel.inspect_data()
      • Panel.load()
      • Panel.merge()
      • Panel.pct_change()
      • Panel.populate()
      • Panel.prepare()
      • Panel.remove_rows()
      • Panel.rename()
      • Panel.rolling()
      • Panel.rolling_beta()
      • Panel.rolling_regression()
      • Panel.save()
      • Panel.shift()
      • Panel.show_available_functions()
      • Panel.sum()
  • pyanomaly.portfolio
    • Portfolio
      • Portfolio.name
      • Portfolio.position
      • Portfolio.value
      • Portfolio.fposition
      • Portfolio.performance
      • Portfolio.costfcn
      • Portfolio.add_position()
      • Portfolio.copy()
      • Portfolio.cum_return()
      • Portfolio.cum_returns()
      • Portfolio.drawdown()
      • Portfolio.eval()
      • Portfolio.eval_series()
      • Portfolio.from_portfolo_return()
      • Portfolio.max_drawdown()
      • Portfolio.max_succdown()
      • Portfolio.mean_return()
      • Portfolio.returns()
      • Portfolio.set_position()
      • Portfolio.set_return_type()
      • Portfolio.sharpe_ratio()
      • Portfolio.std_return()
      • Portfolio.succdown()
    • Portfolios
      • Portfolios.members
      • Portfolios.value
      • Portfolios.performance
      • Portfolios.add()
      • Portfolios.eval()
      • Portfolios.set()
  • pyanomaly.tcost
    • TimeVaryingCost
      • TimeVaryingCost.set_params()
    • TransactionCost
      • TransactionCost.params
      • TransactionCost.get_cost()
      • TransactionCost.get_cost_()
      • TransactionCost.set_params()
  • pyanomaly.util
    • drop_columns()
    • is_iterable()
    • is_zero()
    • keep_columns()
    • to_list()
    • unique_list()
  • pyanomaly.wrdsdata
    • WRDS
      • WRDS.db
      • WRDS.add_gvkey_to_crsp()
      • WRDS.convert_fund_currency_to_usd()
      • WRDS.create_pgpass_file()
      • WRDS.download_all()
      • WRDS.download_funda()
      • WRDS.download_fundq()
      • WRDS.download_g_secd()
      • WRDS.download_seall()
      • WRDS.download_secd()
      • WRDS.download_sf()
      • WRDS.download_table()
      • WRDS.download_table_async()
      • WRDS.get_risk_free_rate()
      • WRDS.merge_sf_with_seall()
      • WRDS.preprocess_crsp()
      • WRDS.read_data()
      • WRDS.save_as_csv()
      • WRDS.save_data()

Support

• Support
• Changelog

Indices and tables

• Index

• Module Index