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Ioannis Ropotos's Projects

corwin_schultz_2012 icon corwin_schultz_2012

Python code for replicating the effective spread estimator of Corwin, S. A., & Schultz, P. (2012). A simple way to estimate bid‐ask spreads from daily high and low prices. The journal of finance, 67(2), 719-760.

danieltitman1997 icon danieltitman1997

Replication of the methodology of Daniel and Titman (1997) for constructing pre-formation and constant-weight allocation Fama-French factors.

eikon-api icon eikon-api

Python script to automate the process of downloading variables using EIKON API.

famafrench2015ff5 icon famafrench2015ff5

Replication of the 5 Fama-French factors as constructed in their 2015 paper.

famafrenchindustries icon famafrenchindustries

A function that classifies a company to a Fama-French Industry according to its 4-digit SIC code.

portsort icon portsort

A package to sort stocks into portfolios and calculate weighted-average returns.

pycop icon pycop

Python library for multivariate dependence modeling with Copulas

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