Package: tidyfinance 0.6.0.9004

Christoph Scheuch

tidyfinance: Tidy Finance Helper Functions

Helper functions for empirical research in financial economics, addressing a variety of topics covered in Scheuch, Voigt, and Weiss (2023) <doi:10.1201/b23237>. 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 <https://www.tidy-finance.org/r/index.html>.

Authors:Christoph Scheuch [aut, cre, cph], Stefan Voigt [aut, cph], Patrick Weiss [aut, cph], Maximilian Mücke [ctb]

tidyfinance_0.6.0.9004.tar.gz
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manual.pdf |manual.html✨
card.svg |card.png
tidyfinance/json (API)
NEWS

# Install 'tidyfinance' in R:
install.packages('tidyfinance', repos = c('https://tidy-finance.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/tidy-finance/r-tidyfinance/issues

Pkgdown/docs site:https://package.tidy-finance.org

On CRAN:

Conda:

finance

7.29 score 23 stars 105 scripts 1.3k downloads 50 exports 42 dependencies

Last updated from:ee00f3eb53. Checks:9 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-x86_64OK166
source / vignettesOK165
linux-release-x86_64OK176
macos-release-arm64OK103
macos-oldrel-arm64OK142
windows-develOK129
windows-releaseOK141
windows-oldrelOK130
wasm-releaseOK102

Exports:add_lagged_columnsassign_portfoliobreakpoint_optionscompute_breakpointscompute_long_short_returnscompute_portfolio_returnscompute_rolling_valuecreate_summary_statisticsdata_optionsdisconnect_connectiondownload_datadownload_data_constituentsdownload_data_factors_ffdownload_data_factors_qdownload_data_freddownload_data_huggingfacedownload_data_macro_predictorsdownload_data_osapdownload_data_pseudo_ccm_linksdownload_data_pseudo_compustatdownload_data_pseudo_crspdownload_data_risk_freedownload_data_stock_pricesdownload_data_wrdsdownload_data_wrds_ccm_linksdownload_data_wrds_compustatdownload_data_wrds_crspdownload_data_wrds_fisddownload_data_wrds_trace_enhanceddownload_factor_library_griddownload_factor_library_idsestimate_betasestimate_fama_macbethestimate_modelfilter_optionsfilter_sorting_dataget_available_huggingface_filesget_wrds_connectionimplement_portfolio_sortjoin_lagged_valueslist_supported_datasetslist_supported_indexeslist_supported_typeslist_tidy_finance_chaptersopen_tidy_finance_websiteportfolio_sort_optionsset_wrds_credentialstrimvalidate_dateswinsorize

Dependencies:askpassbitbit64blobclicpp11curlDBIdbplyrdplyrgenericsgluehmshttr2jsonlitelatticelifecyclelubridatemagrittrnanoparquetopensslpillarpkgconfigpurrrR6rappdirsrlangRPostgressandwichsliderstringistringrsystibbletidyrtidyselecttimechangeutf8vctrswarpwithrzoo

Readme and manuals

Help Manual

Help pageTopics
Add Lagged Columns via Joinadd_lagged_columns
Assign Portfolios Based on Sorting Variableassign_portfolio
Create Breakpoint Options for Portfolio Sortingbreakpoint_options
Compute Breakpoints Based on Sorting Variablecompute_breakpoints
Compute Long-Short Returnscompute_long_short_returns
Compute Portfolio Returnscompute_portfolio_returns
Compute a Rolling Value by Periodcompute_rolling_value
Create Summary Statistics for Specified Variablescreate_summary_statistics
Create Data Optionsdata_options
Disconnect Database Connectiondisconnect_connection
Download and Process Data Based on Domain and Datasetdownload_data
Download Constituent Datadownload_data_constituents
Download and Process Fama-French Factor Datadownload_data_factors_ff
Download and Process Global Q Factor Datadownload_data_factors_q
Download and Process Data from FREDdownload_data_fred
Download data from a Hugging Face datasetdownload_data_huggingface
Download and Process Macro Predictor Datadownload_data_macro_predictors
Download and Process Open Source Asset Pricing Datadownload_data_osap
Generate Pseudo CCM Linksdownload_data_pseudo_ccm_links
Generate Pseudo Compustat Datadownload_data_pseudo_compustat
Generate Pseudo CRSP Datadownload_data_pseudo_crsp
Download Risk-Free Rate Datadownload_data_risk_free
Download Stock Datadownload_data_stock_prices
Download Data from WRDSdownload_data_wrds
Download CCM Links from WRDSdownload_data_wrds_ccm_links
Download Data from WRDS Compustatdownload_data_wrds_compustat
Download Data from WRDS CRSPdownload_data_wrds_crsp
Download Filtered FISD Data from WRDSdownload_data_wrds_fisd
Download Enhanced TRACE Data from WRDSdownload_data_wrds_trace_enhanced
Download the Factor Library Grid from Hugging Facedownload_factor_library_grid
Download factor library returns for a vector of portfolio IDsdownload_factor_library_ids
Estimate Rolling Betasestimate_betas
Estimate Fama-MacBeth Regressionsestimate_fama_macbeth
Estimate a Linear Modelestimate_model
Create Filter Optionsfilter_options
Filter Sorting Datafilter_sorting_data
List Parquet Files in a Hugging Face Datasetget_available_huggingface_files
Establish a Connection to the WRDS Databaseget_wrds_connection
Implement Portfolio Sortimplement_portfolio_sort
Join Lagged Variable Values over a Date Rangejoin_lagged_values
List All Supported Datasetslist_supported_datasets list_supported_types
List Supported Fama-French Datasetslist_supported_datasets_ff
List Supported Legacy Fama-French Datasetslist_supported_datasets_ff_legacy
List Supported Macro Predictor Datasetslist_supported_datasets_macro_predictors
List Supported Other Datasetslist_supported_datasets_other
List Supported Pseudo WRDS Datasetslist_supported_datasets_pseudo
List Supported Global Q Datasetslist_supported_datasets_q
List Supported WRDS Datasetslist_supported_datasets_wrds
List Supported Indexeslist_supported_indexes
List Chapters of Tidy Financelist_tidy_finance_chapters
Open Tidy Finance Website or Specific Chapter in Browseropen_tidy_finance_website
Create Portfolio Sort Optionsportfolio_sort_options
Set WRDS Credentialsset_wrds_credentials
Trim a Numeric Vectortrim
Validate and Coerce Date Range Argumentsvalidate_dates
Winsorize a Numeric Vectorwinsorize