Financial Research Data Services
Project description
FRDS
General purpose financial research data services.
Install
FRDS requires Python3.8 or higher. To install using pip
:
pip install frds
After installation, a folder frds
will be created under the user's home
directory, which contains a data
folder, a result
folder and the
configuration file config.ini
.
Configuration
The default config.ini
is:
[Author]
name: Mingze Gao
email: mingze.gao@sydney.edu.au
institution: University of Sydney
[Paths]
base_dir: ~/frds
data_dir: ${base_dir}/data
result_dir: ${base_dir}/result
[Login]
wrds_username:
wrds_password:
You need to enter your WRDS username and password under the login section.
Usage
To start estimating various measures, run frds
as a module:
python -m frds.run
The output data will be saved as STATA .dta
file in the result
folder.
Example
The default measure is
tangibility
,
defined as the Property, Plant and Equipment (Net) scaled by Assets (Total),
estimated for all firms in the Compustat Fundamental Annual. The result dataset
is saved in /result/Tangibility.dta
.
Structure
Module | Description |
---|---|
frds.data |
provides data access to various data vendors. |
frds.ra |
the hard-working RA that does all the computation. |
frds.measures |
the collection of measures to estimate. |
Measures
Measure | Description | Datasets Used |
---|---|---|
tangibility | Property, Plant and Equipment (Net) scaled by Assets (Total) | wrds.funda |
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