tidyfinance 0.1.1__tar.gz

tidyfinance-0.1.1/.github/workflows/python-package.yml

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+name: Test Python Package
+
+on:
+  push:
+    branches: [ main ]
+  pull_request:
+    branches: [ main ]
+
+permissions: read-all
+
+jobs:
+  build:
+    runs-on: ${{ matrix.os }}
+
+    name: ${{ matrix.os }} (Python ${{ matrix.python-version }})
+
+    strategy:
+      matrix:
+        os: [ubuntu-latest, macos-latest, windows-latest]
+        python-version: ['3.10', '3.11']
+
+    steps:
+      - name: Check out the repository
+        uses: actions/checkout@v3
+
+      - name: Install uv and set the python version
+        uses: astral-sh/setup-uv@v4
+        with:
+          python-version: ${{ matrix.python-version }}
+
+      - name: Sync dependencies
+        run: uv sync --all-extras --dev
+
+      - name: Run tests
+        run: uv run pytest tests

tidyfinance-0.1.1/.gitignore

@@ -0,0 +1,7 @@
+tests/__pycache__/
+tidyfinance/__pycache__/
+.pytest_cache/
+.env
+config.yaml
+.ruff_cache
+.venv

tidyfinance-0.1.1/.python-version

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+3.10

tidyfinance-0.1.1/CHANGELOG.md

@@ -0,0 +1,5 @@
+# Changelog
+
+## v0.1.0 (development version)
+
+- Initial PyPI release.

tidyfinance-0.1.1/LICENSE

@@ -0,0 +1,21 @@
+MIT License
+
+Copyright (c) 2024 Christoph Scheuch, Christoph Frey, Stefan Voigt, and Patrick Weiss
+
+Permission is hereby granted, free of charge, to any person obtaining a copy
+of this software and associated documentation files (the "Software"), to deal
+in the Software without restriction, including without limitation the rights
+to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+copies of the Software, and to permit persons to whom the Software is
+furnished to do so, subject to the following conditions:
+
+The above copyright notice and this permission notice shall be included in all
+copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+SOFTWARE.

tidyfinance-0.1.1/PKG-INFO

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+Metadata-Version: 2.4
+Name: tidyfinance
+Version: 0.1.1
+Summary: Tidy Finance Helper Functions
+Project-URL: Repository, https://github.com/tidy-finance/py-tidyfinance
+Project-URL: Issues, https://github.com/tidy-finance/py-tidyfinance/issues
+Project-URL: Changelog, https://github.com/tidy-finance/py-tidyfinance/blob/master/CHANGELOG.md
+Author-email: Christoph Scheuch <christoph@tidy-intelligence.com>, Christoph Frey <christoph.frey@gmail.com>
+License-Expression: MIT
+License-File: LICENSE
+Requires-Python: >=3.10
+Requires-Dist: dotenv>=0.9.9
+Requires-Dist: lxml>=5.3.1
+Requires-Dist: numpy>=1.26.0
+Requires-Dist: pandas-datareader>=0.10.0
+Requires-Dist: pandas>=2.2.0
+Requires-Dist: psycopg2-binary>=2.9.9
+Requires-Dist: pyarrow>=19.0.1
+Requires-Dist: pyyaml>=6.0.2
+Requires-Dist: requests>=2.31.0
+Requires-Dist: sqlalchemy>=2.0.21
+Requires-Dist: statsmodels>=0.14.0
+Description-Content-Type: text/markdown
+
+# tidyfinance
+
+![PyPI](https://img.shields.io/pypi/v/tidyfinance?label=pypi%20package)
+![PyPI Downloads](https://img.shields.io/pypi/dm/tidyfinance)
+[![python-package.yml](https://github.com/tidy-finance/py-tidyfinance/actions/workflows/python-package.yml/badge.svg)](https://github.com/tidy-finance/py-tidyfinance/actions/workflows/python-package.yml)
+<!-- [![codecov.yml](https://codecov.io/gh/tidy-finance/py-tidyfinance/graph/badge.svg)](https://app.codecov.io/gh/tidy-finance/py-tidyfinance) -->
+[![License:
+MIT](https://img.shields.io/badge/License-MIT-yellow.svg)](https://opensource.org/licenses/MIT)
+
+Helper functions for empirical research in financial economics, addressing a variety of topics covered in [Scheuch, Frey, Voigt, and Weiss (2024)](https://doi.org/10.1201/9781032684307). The package is designed to provide shortcuts for issues extensively discussed in the book, facilitating easier application of its concepts. For more information and resources related to the book, visit [tidy-finance.org/python](https://tidy-finance.org/python).
+
+## Installation
+
+You can install the release version from [PyPI](https://pypi.org/project/tidyfinance/):
+
+```
+pip install tidyfinance
+```
+
+You can install the development version from GitHub:
+
+```
+pip install "git+https://github.com/tidy-finance/py-tidyfinance"
+```
+
+## Download Open Source Data
+
+The main functionality of the `tidyfinance` package centers around data download. You can download most of the data that we used in Tidy Finance with R using the `download_data()` function or its children. 
+
+```python
+import tidyfinance as tf
+```
+
+The function always requires a `domain` argument and depending on the domain typically also a `dataset`. For instance, to download monthly Fama-French factors, you have to provide the dataset name according to `pdr.famafrench.get_available_datasets()`:
+
+```python
+tf.download_data(
+  domain="factors_ff",
+  dataset="F-F_Research_Data_5_Factors_2x3_daily",
+  start_date="2000-01-01", 
+  end_date="2020-12-31"
+)
+```
+
+For q factors, you provide the relevant file name:
+
+```python
+tf.download_data(
+  domain="factors_q",
+  dataset="q5_factors_monthly",
+  start_date="2000-01-01", 
+  end_date="2020-12-31"
+)
+```
+
+To download the Welch and Goyal (2008) macroeconomic predictors for monthly, quarterly, or annual frequency:
+
+```python
+tf.download_data(
+  domain="macro_predictors",
+  dataset="monthly",
+  start_date="2000-01-01", 
+  end_date="2020-12-31"
+)
+```
+
+To download data from Open Source Asset Pricing (OSAP):
+
+```python
+tf.download_data(
+  domain="osap",
+  start_date="2020-01-01", 
+  end_date="2020-12-31"
+)
+```
+
+To download multiple series from the Federal Reserve Economic Data (FRED):
+
+```python
+tf.download_data(
+  domain="fred",
+  series=["GDP", "CPIAUCNS"], 
+  start_date="2020-01-01", 
+  end_date="2020-12-31"
+)
+```
+
+To download stock prices from Yahoo Finance:
+
+```python
+tf.download_data(
+  domain="stock_prices",
+  symbols=["AAPL", "MSFT"], 
+  start_date="2020-01-01", 
+  end_date="2020-12-31"
+)
+```
+
+To download index constituents from selected ETF holdings: 
+
+```python
+tf.download_data(
+  domain="constituents",
+  index="S&P 500"
+)
+```
+
+## Download WRDS Data
+
+To access data from the [Wharton Research Data Services (WRDS)](https://wrds-www.wharton.upenn.edu/), you need to set your credentials first:
+
+```python
+tf.set_wrds_credentials()
+```
+
+To download monthly CRSP data: 
+
+```python
+tf.download_data(
+  domain="wrds",
+  dataset="crsp_monthly", 
+  start_date="2020-01-01", 
+  end_date="2020-12-31"
+)
+```
+
+To download annual (or quaterly) Compustat data:
+
+```python
+tf.download_data(
+  domain="wrds",
+  dataset="compustat_annual", 
+  start_date="2020-01-01", 
+  end_date="2020-12-31"
+)
+```
+
+To download the CRSP-Compustat linking table: 
+
+```python
+tf.download_data(
+  domain="wrds",
+  dataset="ccm_links"
+)
+```
+
+To download bond characteristics from Mergent FISD:
+
+```python
+tf.download_data(
+  domain="wrds",
+  dataset="fisd"
+)
+```
+
+To download Enhanced TRACE data for selected bonds: 
+
+```python
+tf.download_data(
+  domain="wrds",
+  dataset="trace_enhanced",
+  cusips=["00101JAH9"],
+  start_date="2019-01-01", 
+  end_date="2021-12-31"
+)
+```
+
+## Other Helpers
+
+We include functions to check out content from tidy-finance.org:
+
+```python
+tf.list_tidy_finance_chapters()
+tf.open_tidy_finance_website("capital-asset-pricing-model")
+```
+
+We also include (experimental) functions that can be used for different applications, but note that they might heavily change in future package versions as we try to make them more general:
+
+```python
+# Create summary statistics
+help(tf.create_summary_statistics)
+
+# Assign portfolios
+help(tf.assign_portfolio)
+
+# Estimate betas
+help(tf.estimate_betas)
+
+# Estimate Fama-MacBeth 
+help(tf.estimate_fama_macbeth)
+
+# Add lag columns
+help(tf.add_lag_columns)
+
+# Winsorize or trim 
+help(tf.winsorize)
+help(tf.trim)
+```

tidyfinance-0.1.1/README.md

@@ -0,0 +1,198 @@
+# tidyfinance
+
+![PyPI](https://img.shields.io/pypi/v/tidyfinance?label=pypi%20package)
+![PyPI Downloads](https://img.shields.io/pypi/dm/tidyfinance)
+[![python-package.yml](https://github.com/tidy-finance/py-tidyfinance/actions/workflows/python-package.yml/badge.svg)](https://github.com/tidy-finance/py-tidyfinance/actions/workflows/python-package.yml)
+<!-- [![codecov.yml](https://codecov.io/gh/tidy-finance/py-tidyfinance/graph/badge.svg)](https://app.codecov.io/gh/tidy-finance/py-tidyfinance) -->
+[![License:
+MIT](https://img.shields.io/badge/License-MIT-yellow.svg)](https://opensource.org/licenses/MIT)
+
+Helper functions for empirical research in financial economics, addressing a variety of topics covered in [Scheuch, Frey, Voigt, and Weiss (2024)](https://doi.org/10.1201/9781032684307). The package is designed to provide shortcuts for issues extensively discussed in the book, facilitating easier application of its concepts. For more information and resources related to the book, visit [tidy-finance.org/python](https://tidy-finance.org/python).
+
+## Installation
+
+You can install the release version from [PyPI](https://pypi.org/project/tidyfinance/):
+
+```
+pip install tidyfinance
+```
+
+You can install the development version from GitHub:
+
+```
+pip install "git+https://github.com/tidy-finance/py-tidyfinance"
+```
+
+## Download Open Source Data
+
+The main functionality of the `tidyfinance` package centers around data download. You can download most of the data that we used in Tidy Finance with R using the `download_data()` function or its children. 
+
+```python
+import tidyfinance as tf
+```
+
+The function always requires a `domain` argument and depending on the domain typically also a `dataset`. For instance, to download monthly Fama-French factors, you have to provide the dataset name according to `pdr.famafrench.get_available_datasets()`:
+
+```python
+tf.download_data(
+  domain="factors_ff",
+  dataset="F-F_Research_Data_5_Factors_2x3_daily",
+  start_date="2000-01-01", 
+  end_date="2020-12-31"
+)
+```
+
+For q factors, you provide the relevant file name:
+
+```python
+tf.download_data(
+  domain="factors_q",
+  dataset="q5_factors_monthly",
+  start_date="2000-01-01", 
+  end_date="2020-12-31"
+)
+```
+
+To download the Welch and Goyal (2008) macroeconomic predictors for monthly, quarterly, or annual frequency:
+
+```python
+tf.download_data(
+  domain="macro_predictors",
+  dataset="monthly",
+  start_date="2000-01-01", 
+  end_date="2020-12-31"
+)
+```
+
+To download data from Open Source Asset Pricing (OSAP):
+
+```python
+tf.download_data(
+  domain="osap",
+  start_date="2020-01-01", 
+  end_date="2020-12-31"
+)
+```
+
+To download multiple series from the Federal Reserve Economic Data (FRED):
+
+```python
+tf.download_data(
+  domain="fred",
+  series=["GDP", "CPIAUCNS"], 
+  start_date="2020-01-01", 
+  end_date="2020-12-31"
+)
+```
+
+To download stock prices from Yahoo Finance:
+
+```python
+tf.download_data(
+  domain="stock_prices",
+  symbols=["AAPL", "MSFT"], 
+  start_date="2020-01-01", 
+  end_date="2020-12-31"
+)
+```
+
+To download index constituents from selected ETF holdings: 
+
+```python
+tf.download_data(
+  domain="constituents",
+  index="S&P 500"
+)
+```
+
+## Download WRDS Data
+
+To access data from the [Wharton Research Data Services (WRDS)](https://wrds-www.wharton.upenn.edu/), you need to set your credentials first:
+
+```python
+tf.set_wrds_credentials()
+```
+
+To download monthly CRSP data: 
+
+```python
+tf.download_data(
+  domain="wrds",
+  dataset="crsp_monthly", 
+  start_date="2020-01-01", 
+  end_date="2020-12-31"
+)
+```
+
+To download annual (or quaterly) Compustat data:
+
+```python
+tf.download_data(
+  domain="wrds",
+  dataset="compustat_annual", 
+  start_date="2020-01-01", 
+  end_date="2020-12-31"
+)
+```
+
+To download the CRSP-Compustat linking table: 
+
+```python
+tf.download_data(
+  domain="wrds",
+  dataset="ccm_links"
+)
+```
+
+To download bond characteristics from Mergent FISD:
+
+```python
+tf.download_data(
+  domain="wrds",
+  dataset="fisd"
+)
+```
+
+To download Enhanced TRACE data for selected bonds: 
+
+```python
+tf.download_data(
+  domain="wrds",
+  dataset="trace_enhanced",
+  cusips=["00101JAH9"],
+  start_date="2019-01-01", 
+  end_date="2021-12-31"
+)
+```
+
+## Other Helpers
+
+We include functions to check out content from tidy-finance.org:
+
+```python
+tf.list_tidy_finance_chapters()
+tf.open_tidy_finance_website("capital-asset-pricing-model")
+```
+
+We also include (experimental) functions that can be used for different applications, but note that they might heavily change in future package versions as we try to make them more general:
+
+```python
+# Create summary statistics
+help(tf.create_summary_statistics)
+
+# Assign portfolios
+help(tf.assign_portfolio)
+
+# Estimate betas
+help(tf.estimate_betas)
+
+# Estimate Fama-MacBeth 
+help(tf.estimate_fama_macbeth)
+
+# Add lag columns
+help(tf.add_lag_columns)
+
+# Winsorize or trim 
+help(tf.winsorize)
+help(tf.trim)
+```

tidyfinance-0.1.1/pyproject.toml

@@ -0,0 +1,46 @@
+[build-system]
+requires = ["hatchling"]
+build-backend = "hatchling.build"
+
+[project]
+name = "tidyfinance"
+authors = [{name = "Christoph Scheuch", email = "christoph@tidy-intelligence.com"},
+           {name = "Christoph Frey", email = "christoph.frey@gmail.com"}]
+version = "0.1.1"
+description = "Tidy Finance Helper Functions"
+readme = "README.md"
+license = "MIT"
+requires-python = ">=3.10"
+dependencies = [
+    "pandas>=2.2.0",
+    "numpy>=1.26.0",
+    "sqlalchemy>=2.0.21",
+    "pyyaml>=6.0.2",
+    "pandas-datareader>=0.10.0",
+    "statsmodels>=0.14.0",
+    "requests>=2.31.0",
+    "pyarrow>=19.0.1",
+    "psycopg2-binary>=2.9.9",
+    "dotenv>=0.9.9",
+    "lxml>=5.3.1",
+]
+
+[dependency-groups]
+dev = [
+    "pytest>=8.3.4",
+    "pytest-httpx>=0.35.0",
+    "pytest-cov>=6.0.0"
+]
+
+[project.urls]
+Repository = "https://github.com/tidy-finance/py-tidyfinance"
+Issues = "https://github.com/tidy-finance/py-tidyfinance/issues"
+Changelog = "https://github.com/tidy-finance/py-tidyfinance/blob/master/CHANGELOG.md"
+
+[tool.pytest.ini_options]
+filterwarnings = [
+    "ignore:distutils Version classes are deprecated:DeprecationWarning"
+]
+
+[tool.ruff]
+line-length = 80

tidyfinance-0.1.1/requirements.txt

@@ -0,0 +1,56 @@
+arch==7.2.0
+asttokens==3.0.0
+certifi==2025.1.31
+charset-normalizer==3.4.1
+cloudpickle==3.1.0
+colorama==0.4.6
+comm==0.2.2
+debugpy==1.8.11
+decorator==5.1.1
+exceptiongroup==1.2.2
+executing==2.1.0
+greenlet==3.1.1
+idna==3.10
+iniconfig==2.0.0
+ipykernel==6.29.5
+ipython==8.31.0
+jedi==0.19.2
+jupyter_client==8.6.3
+jupyter_core==5.7.2
+lxml==5.3.1
+matplotlib-inline==0.1.7
+nest-asyncio==1.6.0
+numpy==2.2.1
+packaging==24.2
+pandas==2.2.3
+pandas-datareader==0.10.0
+parso==0.8.4
+patsy==1.0.1
+platformdirs==4.3.6
+pluggy==1.5.0
+prompt_toolkit==3.0.48
+psutil==6.1.1
+psycopg2==2.9.10
+pure_eval==0.2.3
+Pygments==2.18.0
+pytest==8.3.4
+python-dateutil==2.9.0.post0
+pytz==2024.2
+pywin32==308
+PyYAML==6.0.2
+pyzmq==26.2.0
+requests==2.32.3
+scipy==1.15.0
+six==1.17.0
+spyder-kernels==3.0.2
+SQLAlchemy==2.0.38
+stack-data==0.6.3
+statsmodels==0.14.4
+tomli==2.2.1
+tornado==6.4.2
+tqdm==4.67.1
+traitlets==5.14.3
+typing_extensions==4.12.2
+tzdata==2024.2
+urllib3==2.3.0
+wcwidth==0.2.13