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Description of GSoC 2019 goals and accomplishments

GSoC 2019 - The EAPR Package

This gist provides a summary of my accomplishements during the development of the EAPR R package during GSoC 2019 as well as plans for future development. Please follow this link to the package for more detail on the package, including the motivation, guide for starting out, and how to contribute.

Goals

Our overarching goal for this summer was to get development of the EAPR package off the ground and running. This objective was accomplished as methods for data extraction from the Wharton Research Data Services (WRDS) database, Fama MacBeth regressions, and quantile portfolio creation were implemented during this period. Completing these methods is an important step towards supporting reproducible research in the empirical asset pricing subfield of financial research.

Challenges

Naturally, there will be some challenges when doing something for the first time, and this was no exception for me. Throughout the development of my first R package, I had to learn about the Roxygen2 documentation system, properly manage dependencies, coding/debugging workflow, among other hurdles. Overall, my developing this package contributed greatly to the rounding out of my skillset as a coder.

What's Next

We will continue to develop this package to facilitate research in empirical asset pricing. In the short term, we will look to make improvements to the current methods to increase their efficiency. Additionally, we plan to add extraction of more granular data such as the daily CRSP datasets and quarterly company financials from Compustat. Other features will also be added in the future to cater to a greater breadth of interests and we are open to any ideas (Instructions for submitting feature requests are found in the README on our github site).

Additional Info

Below is a list of commits to the EAPR github repository.

Commit list
  • 3efc2f9 - GregoryBrownson : Add plotting method
  • 8e92681 - GregoryBrownson : Implement summary methods
  • 319c1df - GregoryBrownson : Edit for clarity
  • 216faaa - GregoryBrownson : Tidy up scode
  • 4936605 - GregoryBrownson : Update README
  • 2dfbf50 - GregoryBrownson : Fix code sections
  • d1c0e5a - GregoryBrownson : Update README
  • 0b6bff2 - GregoryBrownson : add lined to end
  • d62d1d7 - GregoryBrownson : Update documentation
  • da1d763 - GregoryBrownson : Remove technical variable parameter
  • ca07f48 - GregoryBrownson : Add vignette builder option
  • 84c65cd - GregoryBrownson : Add vignettes folder and package guide
  • fc7920c - GregoryBrownson : Changed parameters for quantile portfolio methods
  • cf469ee - GregoryBrownson : Changed name for size variable
  • 57d13a8 - GregoryBrownson : Fixed code error
  • 93920a0 - GregoryBrownson : Renamed 'rDate_market_equity' to 'size'
  • 6c7919f - GregoryBrownson : Update documentation, fix bugs
  • 50dbdce - GregoryBrownson : Update documentation
  • 909e6b9 - GregoryBrownson : Fixed some bugs, added documentation
  • 2c1a991 - GregoryBrownson : Documentation for FF92 filter
  • 9ec7584 - GregoryBrownson : Added documentation for FF92 filter
  • af9a8a1 - GregoryBrownson : Update script
  • 5e37a1c - GregoryBrownson : No longer needed
  • 8790ced - GregoryBrownson : Update documentation
  • 95776c0 - GregoryBrownson : Update documentation
  • f76a104 - GregoryBrownson : Document fama_macbeth method
  • 6d07946 - GregoryBrownson : Add method for Fama-MacBeth regressions
  • 965d218 - GregoryBrownson : Fixed some issues and added documentation
  • 5046ad9 - GregoryBrownson : Fix error with ff92 filter
  • 51a3850 - GregoryBrownson : Update documentation
  • a99c58e - GregoryBrownson : Update R version dependency
  • 7eae55c - GregoryBrownson : Remove stuff
  • 8f66847 - GregoryBrownson : Finish implementation of portfolio creation
  • 173137f - GregoryBrownson : Update NAMESPACE
  • 5e26e73 - GregoryBrownson : Update documentation
  • 538964e - GregoryBrownson : Update working scripts
  • fc9dbd0 - GregoryBrownson : Update gitignore
  • b943156 - GregoryBrownson : No longer depends on dplyr
  • ee3c90e - GregoryBrownson : update
  • fdb5b50 - GregoryBrownson : Some additional scripts for further analysis
  • 27814fe - GregoryBrownson : Implementation nearly complete
  • d468318 - GregoryBrownson : Small changes
  • 76b7991 - GregoryBrownson : Added and implemented some beta methods
  • 1aaf9ff - GregoryBrownson : Began implementation of Fama MacBeth regressions
  • d1783e0 - GregoryBrownson : Remove some stuff
  • 56d80f2 - GregoryBrownson : Remove license
  • cd99493 - GregoryBrownson : Plot outputs from scripts
  • 2138587 - GregoryBrownson : update README
  • 9f71984 - GregoryBrownson : update gitignore
  • 1895a0d - GregoryBrownson : Fixed some implementation of fundamentals
  • b397109 - GregoryBrownson : Implement ff92 filter
  • 6a97dcb - GregoryBrownson : Update extraction methods
  • 5ae7d9b - GregoryBrownson : update DESC and NAMESPC
  • a4e19cc - GregoryBrownson : Package Proposal
  • b8b6d18 - GregoryBrownson : Working scripts for research
  • a28b126 - GregoryBrownson : update documentation
  • 60567bd - GregoryBrownson : update
  • 6c390e3 - GregoryBrownson : update
  • 8b8f5db - GregoryBrownson : update README
  • 72fd387 - GregoryBrownson : update README.md
  • 4a3aecc - GregoryBrownson : Add vignettes folder
  • 6f0d6fa - GregoryBrownson : implemented betas
  • e358e83 - Greg : Initial commit
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