A Python package for empirical asset pricing analysis.
Project description
AnomalyLab
Authors
Chen Haiwei, Deng Haotian
Overview
This Python package implements various empirical methods from the book Empirical Asset Pricing: The Cross Section of Stock Returns by Turan G. Bali, Robert F. Engle, and Scott Murray. The package includes functionality for:
- Summary statistics
- Correlation analysis
- Persistence analysis
- Portfolio analysis
- Fama-MacBeth regression (FM regression)
Additionally, we have added several extra features, such as:
- Missing value imputation
- Data normalization
- Leading and lagging variables
- Winsorization/truncation
- Transition matrix calculation
- Formatting output tables
Installation
The package can be installed via:
pip install anomalylab
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anomalylab-0.3.7.tar.gz
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