AnomalyLab

Name	AnomalyLab JSON
Version	0.3.1 JSON
	download
home_page	None
Summary	A Python package for empirical asset pricing analysis.
upload_time	2024-12-18 02:46:13
maintainer	None
docs_url	None
author	FinPhd
requires_python	>=3.10
license	None
keywords
VCS
bugtrack_url
requirements	No requirements were recorded.
Travis-CI	No Travis.
coveralls test coverage	No coveralls.

            # 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

## Installation

The package can be installed via:

```bash
pip install anomalylab
```

            

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