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shokru / mlfactor.github.io

Website dedicated to a book on machine learning for factor investing
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Update Data #75

Closed jxtngx closed 1 year ago

jxtngx commented 1 year ago

Feature request: please update the data to December 2022 and provide as a CSV or parquet file.

shokru commented 1 year ago

That would be great indeed, but sadly probably won't be possible. If you want more recent data, I recommend the one from Dacheng Xiu (from his Empirical Asset Pricing Via Machine Learning paper): https://dachxiu.chicagobooth.edu/download/datashare.zip Which is great because the data is more massive. You can forward short term momentum (mom1m) as dependent variable in this case. It's the best I can advise...

jxtngx commented 1 year ago

thank you!