Merge branch 'braverock:master' into master

braverock · Mar 3, 2022 · 3431e26 · 3431e26
2 parents a8f5a4c + 43dc232
commit 3431e26
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diff --git a/sandbox/Data Details CRSP SPGMI/FAdataCRSPandSPGMI 02 23 22.pdf b/sandbox/Data Details CRSP SPGMI/FAdataCRSPandSPGMI 02 23 22.pdf
diff --git a/sandbox/Data Details CRSP SPGMI/FAdataCRSPandSPGMI.pdf b/sandbox/Data Details CRSP SPGMI/FAdataCRSPandSPGMI.pdf
diff --git a/sandbox/Data Details CRSP SPGMI/Guide for Data Details CRSP SPGMI Folder 02 23 22.pdf b/sandbox/Data Details CRSP SPGMI/Guide for Data Details CRSP SPGMI Folder 02 23 22.pdf
diff --git a/sandbox/Data Details CRSP SPGMI/stocks300stocks310compare.R b/sandbox/Data Details CRSP SPGMI/stocks300stocks310compare.R
@@ -0,0 +1,8 @@
+library(data.table)
+library(FactorAnalytics)
+data(stocksCRSP)
+gics <- fread('stocksTickers310GICSgovindSPGMI.csv')
+# unique(stocksCRSP$TickerLast) %in% unique(gics$Ticker)
+sum(unique(stocksCRSP$TickerLast) %in% unique(gics$Ticker))
+setdiff(unique(gics$Ticker),unique(stocksCRSP$TickerLast))
+
diff --git a/sandbox/Data Details CRSP SPGMI/stocksSectorsCapgroupCounts.R b/sandbox/Data Details CRSP SPGMI/stocksSectorsCapgroupCounts.R
@@ -0,0 +1,24 @@
+library(FactorAnalytics)
+library(data.table)
+data(stocksCRSP)
+names(stocksCRSP)
+
+# Probably add lines 7-12 to FFM Vignette
+dim(stocksCRSP)  # Next lines to make dim more clear
+range(stocksCRSP[,Date])
+length(unique(stocksCRSP[,Ticker]))
+(nTickerLast <- length(unique(stocksCRSP[,TickerLast])))
+(nDates <- length(unique(stocksCRSP[,Date])))
+nDates*nTickerLast
+dim(stocksCRSP)
+
+# Get last date
+lastDateCRSP <- tail(stocksCRSP[,Date],1)
+stocksCRSPLast <- stocksCRSP[Date == lastDateCRSP]
+
+# Sector counts, messed up by multiple names for some sectors
+stocksCRSPLast[ , .N, by = Sector] # Nice data.table feature
+
+# Capgroup counts
+stocksCRSPLast[ , .N, by = CapGroup]
+# I will add a barplot version in the FFM Vignette
diff --git a/sandbox/Data Details CRSP SPGMI/stocksTickers310GICSgovindSPGMI.xlsx b/sandbox/Data Details CRSP SPGMI/stocksTickers310GICSgovindSPGMI.xlsx
diff --git a/sandbox/Data Details CRSP SPGMI/the10stocksSurplus.xlsx b/sandbox/Data Details CRSP SPGMI/the10stocksSurplus.xlsx