实证资产定价(Empirical asset pricing)python package已经发布于Github. 包的具体用法(Documentation)博主将会陆续详细介绍。
Github: GitHub - whyecofiliter/EAP: empirical asset pricing
https://github.com/whyecofiliter/EAP
实证资产定价包(EAP)已发布于Pypi
https://pypi.org/project/EAP/1.1/#description
安装方法为
pip install EAP
https://blog.csdn.net/m0_37430356/article/details/122901976?spm=1001.2014.3001.5501
Module/模组:
投资组合分析:EAP.portfolio_analysishttps://blog.csdn.net/m0_37430356/article/details/122333050?spm=1001.2014.3001.5501
Fama-Macbeth回归:EAP.fama_macbeth
https://blog.csdn.net/m0_37430356/article/details/122333709?spm=1001.2014.3001.5501
Factor_mimicking_portfolio (模仿因子的投资组合): EAP.fama_macbeth.Factor_mimicking_portfolio
https://blog.csdn.net/m0_37430356/article/details/122782803?spm=1001.2014.3001.5502
时间序列回归:EAP.time_series_regress
https://blog.csdn.net/m0_37430356/article/details/122334740?spm=1001.2014.3001.5501
截面回归:EAP.cross_section_regress
https://blog.csdn.net/m0_37430356/article/details/122335141?spm=1001.2014.3001.5501
调整方法:EAP.adjust
https://blog.csdn.net/m0_37430356/article/details/122335227?spm=1001.2014.3001.5501
Update/更新:
更新:二元投资组合分析:EAP.portfolio_analysis.Bivariate
https://blog.csdn.net/m0_37430356/article/details/122665898?spm=1001.2014.3001.5501
更新:条件双重排序:EAP.portfolio_analysis.Bivariate
https://blog.csdn.net/m0_37430356/article/details/123473011?spm=1001.2014.3001.5501
更新:持续性分析:EAP.portfolio_analysis.Persistence
https://blog.csdn.net/m0_37430356/article/details/123550673
更新:描述性统计和相关性:EAP.portfolio_analysis.Univariate
https://blog.csdn.net/m0_37430356/article/details/123561499?spm=1001.2014.3001.5502
Demo/演示:
Market system risk/市场因子
https://blog.csdn.net/m0_37430356/article/details/122847112?spm=1001.2014.3001.5501
Size effect/规模效应
https://blog.csdn.net/m0_37430356/article/details/122599141?spm=1001.2014.3001.5501
Value effect/价值效应
https://blog.csdn.net/m0_37430356/article/details/122725605?spm=1001.2014.3001.5501
Profitability factor/盈利因子
https://blog.csdn.net/m0_37430356/article/details/122748263?spm=1001.2014.3001.5501
Investment factor/投资因子
https://blog.csdn.net/m0_37430356/article/details/122749015?spm=1001.2014.3001.5501
Momentum factor/动量因子
https://blog.csdn.net/m0_37430356/article/details/122749519?spm=1001.2014.3001.5501
Turnover factor/换手率因子
https://blog.csdn.net/m0_37430356/article/details/122756978?spm=1001.2014.3001.5501
Liquidity factor/流动性因子
https://blog.csdn.net/m0_37430356/article/details/123008077?spm=1001.2014.3001.5501
Skewness factor/偏度因子
https://blog.csdn.net/m0_37430356/article/details/123011834?spm=1001.2014.3001.5501
Volatility factor/波动率因子
https://blog.csdn.net/m0_37430356/article/details/123024926?spm=1001.2014.3001.5502
常见的Factor_mimicking_portfolio: EAP.fama_macbeth.Factor_mimicking_portfolio
https://blog.csdn.net/m0_37430356/article/details/122787329?spm=1001.2014.3001.5501
常见因子的Fama-Macbeth回归: EAP.fama_macbeth
https://blog.csdn.net/m0_37430356/article/details/122852050?spm=1001.2014.3001.5501
因子风险溢价:EAP.fama_macbeth.Factor_mimicking_portfolio
https://blog.csdn.net/m0_37430356/article/details/122969120?spm=1001.2014.3001.5502
投资组合的风险因子调整
https://blog.csdn.net/m0_37430356/article/details/123473571?spm=1001.2014.3001.5501
异象研究1:时间序列(EAP.time_series_regress)
https://blog.csdn.net/m0_37430356/article/details/122966632?spm=1001.2014.3001.5502
基本面因子(F-score)——投资组合分析(EAP.portfolio_analysis)
https://blog.csdn.net/m0_37430356/article/details/123794089?spm=1001.2014.3001.5501