For this book, our focus is free public data. Thus, we only discuss a few financial databases since some readers might from schools with valid subscription. CRSP is the one. In this chapter, we mention just three Python datasets.
Center for Research in Security Prices (CRSP). It contains all trading data, such as closing price, trading volume, and shares outstanding for all listed stocks in the US from 1926 onward. Because of its quality and long history, it has been used intensively by academic researchers and practitioners. The first dataset is called crspInfo.pkl
, see the following code:
import pandas as pd x=pd.read_pickle("c:/temp/crspInfo.pkl") print(x.head(3)) print(x.tail(2))
The related output is shown here:
PERMNO PERMCO CUSIP FIRMNAME TICKER EXCHANGE \ 0 10001 7953 36720410 GAS NATURAL INC EGAS 2 1 10002 7954 05978R10 BANCTRUST FINANCIAL GROUP INC BTFG 3 2 10003 7957 39031810...