BYU FIN 585 Library Documentation

This library contains functions and classes for FIN 585 at Brigham Young University which are generally useful for academic finance research.

The library can currently be installed from PyPi:

pip install finance-byu

To use this library, use the following code at the top of your script: import finance_byu as fin. Or, to only import particular functions or classes use from finance_byu.<module> import <class or function>.

The Fama Macbeth module contains parallel implementations of Fama Macbeth regression functions. The rolling module contains rolling functions which make up for some speed and functionality deficits in pandas. The Regtables module contains a class which facilitates access and presentation of grouped regression results. The summarize module contains summary functions useful for summarizing results of grouped regressions. The statistics module contains a function for computing the Gibbons, Ross, and Shanken (GRS) test for a factor model. The regression module contains a function for fixed effects regression similar to Stata’s areg function.

Modules:

• Fama Macbeth Module
  • fama_macbeth
  • Examples
  • Speed
• Rolling Module
  • rolling
  • Basic Examples
  • Examples with Grouping
  • Speed
  • Rolling Multiple Regression
  • Rolling Multiple Regression Speed
• Regtables Module
  • regtables
  • Examples
• Summarize Module
  • summarize
  • Examples
• Statistics Module
  • statistics
  • Example
• Regression Module
  • regression
  • Example

Indices and tables

• Index

• Module Index

• Search Page