Extract data from a wide range of Internet sources into a pandas DataFrame.
一个基于中国市场的Fama-French五因子实证研究
Calculates 103 firm characteristics from CRSP + Compustat directly in Python – no WRDS SAS cloud
Replication of the 5 Fama-French factors as constructed in their 2015 paper.
A toolkit for asset pricing research
Script to perform the asset pricing test of Gibbons, Ross, and Shanken (1989)
A Python package to classify SIC codes into Fama and French 48 industries.
P.A.P.E.R. Platform for Asset-Pricing Experimentation and Research
This code was written for my Linear Algebra capstone project. I analyze the performance of ARK Invest, an investment firm specializing in actively managed Exchange Traded Funds (ETFs). My analysis is motivated by the broader debate over whether active investors can generate superior returns to passive funds.
Excel portfolio project combining Fama–French 3-factor regressions with Markowitz optimization. Calculates expected returns, covariances, and solves for Minimum Variance & Tangency Portfolios. Includes charts, efficient frontier, and fully transparent formulas for replication.
Hempel Top 50 is multi-factor investment algorithm that selects the best 50 securities in the S&P 500, using fundamental data and a quantitative approach.
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