109 KiB
109 KiB
In [1]:
import pandas as pd
import numpy as np
pd.__version__Out [1]:
'3.0.5'
In [2]:
import chardet
def check_encoding(file):
with open(file, 'rb') as f:
result = chardet.detect(f.read())
return result
file = 'datasets/CRSP_Daily_Market_1926_2025.csv'
result = check_encoding(file)
print(result['encoding'], result['confidence'])ascii 1.0
In [3]:
crsp = pd.read_csv(file, nrows=5)
crspOut [3]:
| DlyCalDt | vwretd | vwretx | vwTotVal | vwUsdVal | vwTotCnt | vwUsdCnt | ewretd | ewretx | ewTotVal | ewUsdVal | ewTotCnt | ewUsdCnt | sprtrn | spindx | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 0 | 1925-12-31 | NaN | NaN | 27487487 | NaN | 500 | NaN | NaN | NaN | 27545352 | NaN | 503 | NaN | NaN | NaN |
| 1 | 1926-01-02 | 0.005689 | 0.005689 | 27600297 | 27366756.0 | 494 | 491.0 | 0.009516 | 0.009516 | 27658600 | 27424620.0 | 497 | 494.0 | NaN | NaN |
| 2 | 1926-01-04 | 0.000706 | 0.000706 | 27577892 | 27479722.0 | 499 | 492.0 | 0.005780 | 0.005780 | 27636515 | 27538025.0 | 502 | 495.0 | NaN | NaN |
| 3 | 1926-01-05 | -0.004821 | -0.004867 | 27530213 | 27561757.0 | 498 | 496.0 | -0.001927 | -0.002030 | 27588552 | 27620380.0 | 501 | 499.0 | NaN | NaN |
| 4 | 1926-01-06 | -0.000423 | -0.000427 | 27618773 | 27526838.0 | 502 | 497.0 | 0.001182 | 0.001155 | 27676674 | 27585177.0 | 505 | 500.0 | NaN | NaN |
In [4]:
crsp = pd.read_csv(file)
crspOut [4]:
| DlyCalDt | vwretd | vwretx | vwTotVal | vwUsdVal | vwTotCnt | vwUsdCnt | ewretd | ewretx | ewTotVal | ewUsdVal | ewTotCnt | ewUsdCnt | sprtrn | spindx | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 0 | 1925-12-31 | NaN | NaN | 27487487 | NaN | 500 | NaN | NaN | NaN | 27545352 | NaN | 503 | NaN | NaN | NaN |
| 1 | 1926-01-02 | 0.005689 | 0.005689 | 27600297 | 2.736676e+07 | 494 | 491.0 | 0.009516 | 0.009516 | 27658600 | 2.742462e+07 | 497 | 494.0 | NaN | NaN |
| 2 | 1926-01-04 | 0.000706 | 0.000706 | 27577892 | 2.747972e+07 | 499 | 492.0 | 0.005780 | 0.005780 | 27636515 | 2.753802e+07 | 502 | 495.0 | NaN | NaN |
| 3 | 1926-01-05 | -0.004821 | -0.004867 | 27530213 | 2.756176e+07 | 498 | 496.0 | -0.001927 | -0.002030 | 27588552 | 2.762038e+07 | 501 | 499.0 | NaN | NaN |
| 4 | 1926-01-06 | -0.000423 | -0.000427 | 27618773 | 2.752684e+07 | 502 | 497.0 | 0.001182 | 0.001155 | 27676674 | 2.758518e+07 | 505 | 500.0 | NaN | NaN |
| ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... |
| 26296 | 2025-12-24 | 0.002914 | 0.002904 | 88568121481 | 8.831774e+10 | 9126 | 9126.0 | 0.003368 | 0.003125 | 90141105180 | 8.988752e+10 | 9498 | 9498.0 | 0.003221 | 6932.05 |
| 26297 | 2025-12-26 | -0.000242 | -0.000325 | 88542581122 | 8.856811e+10 | 9124 | 9124.0 | -0.002105 | -0.002373 | 90125553062 | 9.014109e+10 | 9496 | 9496.0 | -0.000304 | 6929.94 |
| 26298 | 2025-12-29 | -0.004191 | -0.004230 | 88169518843 | 8.854242e+10 | 9123 | 9123.0 | -0.008373 | -0.008603 | 89739994612 | 9.012539e+10 | 9495 | 9495.0 | -0.003492 | 6905.74 |
| 26299 | 2025-12-30 | -0.001550 | -0.001576 | 88028533719 | 8.816264e+10 | 9132 | 9121.0 | -0.002831 | -0.003547 | 89596162338 | 8.973311e+10 | 9504 | 9493.0 | -0.001376 | 6896.24 |
| 26300 | 2025-12-31 | -0.007319 | -0.007491 | 87552025121 | 8.802809e+10 | 9134 | 9131.0 | -0.005245 | -0.005627 | 89118194675 | 8.959572e+10 | 9506 | 9503.0 | -0.007358 | 6845.50 |
26301 rows × 15 columns
In [5]:
crsp.shapeOut [5]:
(26301, 15)
In [6]:
crsp.head()Out [6]:
| DlyCalDt | vwretd | vwretx | vwTotVal | vwUsdVal | vwTotCnt | vwUsdCnt | ewretd | ewretx | ewTotVal | ewUsdVal | ewTotCnt | ewUsdCnt | sprtrn | spindx | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 0 | 1925-12-31 | NaN | NaN | 27487487 | NaN | 500 | NaN | NaN | NaN | 27545352 | NaN | 503 | NaN | NaN | NaN |
| 1 | 1926-01-02 | 0.005689 | 0.005689 | 27600297 | 27366756.0 | 494 | 491.0 | 0.009516 | 0.009516 | 27658600 | 27424620.0 | 497 | 494.0 | NaN | NaN |
| 2 | 1926-01-04 | 0.000706 | 0.000706 | 27577892 | 27479722.0 | 499 | 492.0 | 0.005780 | 0.005780 | 27636515 | 27538025.0 | 502 | 495.0 | NaN | NaN |
| 3 | 1926-01-05 | -0.004821 | -0.004867 | 27530213 | 27561757.0 | 498 | 496.0 | -0.001927 | -0.002030 | 27588552 | 27620380.0 | 501 | 499.0 | NaN | NaN |
| 4 | 1926-01-06 | -0.000423 | -0.000427 | 27618773 | 27526838.0 | 502 | 497.0 | 0.001182 | 0.001155 | 27676674 | 27585177.0 | 505 | 500.0 | NaN | NaN |
In [7]:
crsp.tail()Out [7]:
| DlyCalDt | vwretd | vwretx | vwTotVal | vwUsdVal | vwTotCnt | vwUsdCnt | ewretd | ewretx | ewTotVal | ewUsdVal | ewTotCnt | ewUsdCnt | sprtrn | spindx | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 26296 | 2025-12-24 | 0.002914 | 0.002904 | 88568121481 | 8.831774e+10 | 9126 | 9126.0 | 0.003368 | 0.003125 | 90141105180 | 8.988752e+10 | 9498 | 9498.0 | 0.003221 | 6932.05 |
| 26297 | 2025-12-26 | -0.000242 | -0.000325 | 88542581122 | 8.856811e+10 | 9124 | 9124.0 | -0.002105 | -0.002373 | 90125553062 | 9.014109e+10 | 9496 | 9496.0 | -0.000304 | 6929.94 |
| 26298 | 2025-12-29 | -0.004191 | -0.004230 | 88169518843 | 8.854242e+10 | 9123 | 9123.0 | -0.008373 | -0.008603 | 89739994612 | 9.012539e+10 | 9495 | 9495.0 | -0.003492 | 6905.74 |
| 26299 | 2025-12-30 | -0.001550 | -0.001576 | 88028533719 | 8.816264e+10 | 9132 | 9121.0 | -0.002831 | -0.003547 | 89596162338 | 8.973311e+10 | 9504 | 9493.0 | -0.001376 | 6896.24 |
| 26300 | 2025-12-31 | -0.007319 | -0.007491 | 87552025121 | 8.802809e+10 | 9134 | 9131.0 | -0.005245 | -0.005627 | 89118194675 | 8.959572e+10 | 9506 | 9503.0 | -0.007358 | 6845.50 |
In [8]:
crsp.columnsOut [8]:
Index(['DlyCalDt', 'vwretd', 'vwretx', 'vwTotVal', 'vwUsdVal', 'vwTotCnt',
'vwUsdCnt', 'ewretd', 'ewretx', 'ewTotVal', 'ewUsdVal', 'ewTotCnt',
'ewUsdCnt', 'sprtrn', 'spindx'],
dtype='str')In [9]:
crsp.info()<class 'pandas.DataFrame'> RangeIndex: 26301 entries, 0 to 26300 Data columns (total 15 columns): # Column Non-Null Count Dtype --- ------ -------------- ----- 0 DlyCalDt 26301 non-null str 1 vwretd 26300 non-null float64 2 vwretx 26300 non-null float64 3 vwTotVal 26301 non-null int64 4 vwUsdVal 26300 non-null float64 5 vwTotCnt 26301 non-null int64 6 vwUsdCnt 26300 non-null float64 7 ewretd 26300 non-null float64 8 ewretx 26300 non-null float64 9 ewTotVal 26301 non-null int64 10 ewUsdVal 26300 non-null float64 11 ewTotCnt 26301 non-null int64 12 ewUsdCnt 26300 non-null float64 13 sprtrn 15981 non-null float64 14 spindx 15982 non-null float64 dtypes: float64(10), int64(4), str(1) memory usage: 3.0 MB
In [10]:
crsp.describe()Out [10]:
| vwretd | vwretx | vwTotVal | vwUsdVal | vwTotCnt | vwUsdCnt | ewretd | ewretx | ewTotVal | ewUsdVal | ewTotCnt | ewUsdCnt | sprtrn | spindx | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| count | 26300.000000 | 26300.000000 | 2.630100e+04 | 2.630000e+04 | 26301.000000 | 26300.000000 | 26300.000000 | 26300.000000 | 2.630100e+04 | 2.630000e+04 | 26301.000000 | 26300.000000 | 15981.000000 | 15982.000000 |
| mean | 0.000421 | 0.000286 | 8.463483e+09 | 8.459652e+09 | 3935.620661 | 3930.434487 | 0.000801 | 0.000689 | 8.699635e+09 | 8.695712e+09 | 4075.014980 | 4071.904411 | 0.000355 | 1088.306449 |
| std | 0.010710 | 0.010709 | 1.555537e+10 | 1.554715e+10 | 2899.110650 | 2896.441375 | 0.010570 | 0.010572 | 1.593272e+10 | 1.592440e+10 | 3042.168464 | 3041.323725 | 0.010357 | 1371.250067 |
| min | -0.171345 | -0.171419 | 1.229773e+07 | 1.228914e+07 | 406.000000 | 404.000000 | -0.135468 | -0.135510 | 1.243940e+07 | 1.243080e+07 | 408.000000 | 406.000000 | -0.204669 | 53.490000 |
| 25% | -0.003854 | -0.003980 | 6.339168e+07 | 6.330839e+07 | 944.000000 | 943.000000 | -0.003011 | -0.003138 | 6.372042e+07 | 6.365784e+07 | 947.000000 | 946.000000 | -0.004274 | 106.325000 |
| 50% | 0.000759 | 0.000624 | 7.730611e+08 | 7.728701e+08 | 4753.000000 | 4747.000000 | 0.001280 | 0.001172 | 7.956396e+08 | 7.954800e+08 | 4827.000000 | 4821.000000 | 0.000485 | 460.845000 |
| 75% | 0.005075 | 0.004952 | 1.204819e+10 | 1.204109e+10 | 6630.000000 | 6608.000000 | 0.005063 | 0.004956 | 1.237183e+10 | 1.237003e+10 | 6876.000000 | 6872.000000 | 0.005240 | 1376.532500 |
| max | 0.156838 | 0.152974 | 8.856812e+10 | 8.856811e+10 | 9166.000000 | 9163.000000 | 0.203020 | 0.201795 | 9.014111e+10 | 9.014109e+10 | 9538.000000 | 9535.000000 | 0.115800 | 6932.050000 |
In [11]:
sprtrn_series = crsp['sprtrn']
type(sprtrn_series)Out [11]:
pandas.Series
In [12]:
crsp_two_cols = crsp[['DlyCalDt', 'sprtrn']]
type(crsp_two_cols)Out [12]:
pandas.DataFrame
In [13]:
crsp.iloc[0:5, 0:3]Out [13]:
| DlyCalDt | vwretd | vwretx | |
|---|---|---|---|
| 0 | 1925-12-31 | NaN | NaN |
| 1 | 1926-01-02 | 0.005689 | 0.005689 |
| 2 | 1926-01-04 | 0.000706 | 0.000706 |
| 3 | 1926-01-05 | -0.004821 | -0.004867 |
| 4 | 1926-01-06 | -0.000423 | -0.000427 |
In [14]:
crsp.at[1, 'vwretd']Out [14]:
0.005689
In [15]:
crsp.loc[0:4, ['DlyCalDt', 'vwretd']]Out [15]:
| DlyCalDt | vwretd | |
|---|---|---|
| 0 | 1925-12-31 | NaN |
| 1 | 1926-01-02 | 0.005689 |
| 2 | 1926-01-04 | 0.000706 |
| 3 | 1926-01-05 | -0.004821 |
| 4 | 1926-01-06 | -0.000423 |
In [16]:
crsp['DlyCalDt'] = pd.to_datetime(crsp['DlyCalDt'], format='%Y-%m-%d')
crspOut [16]:
| DlyCalDt | vwretd | vwretx | vwTotVal | vwUsdVal | vwTotCnt | vwUsdCnt | ewretd | ewretx | ewTotVal | ewUsdVal | ewTotCnt | ewUsdCnt | sprtrn | spindx | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 0 | 1925-12-31 | NaN | NaN | 27487487 | NaN | 500 | NaN | NaN | NaN | 27545352 | NaN | 503 | NaN | NaN | NaN |
| 1 | 1926-01-02 | 0.005689 | 0.005689 | 27600297 | 2.736676e+07 | 494 | 491.0 | 0.009516 | 0.009516 | 27658600 | 2.742462e+07 | 497 | 494.0 | NaN | NaN |
| 2 | 1926-01-04 | 0.000706 | 0.000706 | 27577892 | 2.747972e+07 | 499 | 492.0 | 0.005780 | 0.005780 | 27636515 | 2.753802e+07 | 502 | 495.0 | NaN | NaN |
| 3 | 1926-01-05 | -0.004821 | -0.004867 | 27530213 | 2.756176e+07 | 498 | 496.0 | -0.001927 | -0.002030 | 27588552 | 2.762038e+07 | 501 | 499.0 | NaN | NaN |
| 4 | 1926-01-06 | -0.000423 | -0.000427 | 27618773 | 2.752684e+07 | 502 | 497.0 | 0.001182 | 0.001155 | 27676674 | 2.758518e+07 | 505 | 500.0 | NaN | NaN |
| ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... |
| 26296 | 2025-12-24 | 0.002914 | 0.002904 | 88568121481 | 8.831774e+10 | 9126 | 9126.0 | 0.003368 | 0.003125 | 90141105180 | 8.988752e+10 | 9498 | 9498.0 | 0.003221 | 6932.05 |
| 26297 | 2025-12-26 | -0.000242 | -0.000325 | 88542581122 | 8.856811e+10 | 9124 | 9124.0 | -0.002105 | -0.002373 | 90125553062 | 9.014109e+10 | 9496 | 9496.0 | -0.000304 | 6929.94 |
| 26298 | 2025-12-29 | -0.004191 | -0.004230 | 88169518843 | 8.854242e+10 | 9123 | 9123.0 | -0.008373 | -0.008603 | 89739994612 | 9.012539e+10 | 9495 | 9495.0 | -0.003492 | 6905.74 |
| 26299 | 2025-12-30 | -0.001550 | -0.001576 | 88028533719 | 8.816264e+10 | 9132 | 9121.0 | -0.002831 | -0.003547 | 89596162338 | 8.973311e+10 | 9504 | 9493.0 | -0.001376 | 6896.24 |
| 26300 | 2025-12-31 | -0.007319 | -0.007491 | 87552025121 | 8.802809e+10 | 9134 | 9131.0 | -0.005245 | -0.005627 | 89118194675 | 8.959572e+10 | 9506 | 9503.0 | -0.007358 | 6845.50 |
26301 rows × 15 columns
In [17]:
crsp = crsp.sort_values('DlyCalDt')
crspOut [17]:
| DlyCalDt | vwretd | vwretx | vwTotVal | vwUsdVal | vwTotCnt | vwUsdCnt | ewretd | ewretx | ewTotVal | ewUsdVal | ewTotCnt | ewUsdCnt | sprtrn | spindx | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 0 | 1925-12-31 | NaN | NaN | 27487487 | NaN | 500 | NaN | NaN | NaN | 27545352 | NaN | 503 | NaN | NaN | NaN |
| 1 | 1926-01-02 | 0.005689 | 0.005689 | 27600297 | 2.736676e+07 | 494 | 491.0 | 0.009516 | 0.009516 | 27658600 | 2.742462e+07 | 497 | 494.0 | NaN | NaN |
| 2 | 1926-01-04 | 0.000706 | 0.000706 | 27577892 | 2.747972e+07 | 499 | 492.0 | 0.005780 | 0.005780 | 27636515 | 2.753802e+07 | 502 | 495.0 | NaN | NaN |
| 3 | 1926-01-05 | -0.004821 | -0.004867 | 27530213 | 2.756176e+07 | 498 | 496.0 | -0.001927 | -0.002030 | 27588552 | 2.762038e+07 | 501 | 499.0 | NaN | NaN |
| 4 | 1926-01-06 | -0.000423 | -0.000427 | 27618773 | 2.752684e+07 | 502 | 497.0 | 0.001182 | 0.001155 | 27676674 | 2.758518e+07 | 505 | 500.0 | NaN | NaN |
| ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... |
| 26296 | 2025-12-24 | 0.002914 | 0.002904 | 88568121481 | 8.831774e+10 | 9126 | 9126.0 | 0.003368 | 0.003125 | 90141105180 | 8.988752e+10 | 9498 | 9498.0 | 0.003221 | 6932.05 |
| 26297 | 2025-12-26 | -0.000242 | -0.000325 | 88542581122 | 8.856811e+10 | 9124 | 9124.0 | -0.002105 | -0.002373 | 90125553062 | 9.014109e+10 | 9496 | 9496.0 | -0.000304 | 6929.94 |
| 26298 | 2025-12-29 | -0.004191 | -0.004230 | 88169518843 | 8.854242e+10 | 9123 | 9123.0 | -0.008373 | -0.008603 | 89739994612 | 9.012539e+10 | 9495 | 9495.0 | -0.003492 | 6905.74 |
| 26299 | 2025-12-30 | -0.001550 | -0.001576 | 88028533719 | 8.816264e+10 | 9132 | 9121.0 | -0.002831 | -0.003547 | 89596162338 | 8.973311e+10 | 9504 | 9493.0 | -0.001376 | 6896.24 |
| 26300 | 2025-12-31 | -0.007319 | -0.007491 | 87552025121 | 8.802809e+10 | 9134 | 9131.0 | -0.005245 | -0.005627 | 89118194675 | 8.959572e+10 | 9506 | 9503.0 | -0.007358 | 6845.50 |
26301 rows × 15 columns
In [18]:
crsp = crsp.set_index('DlyCalDt')
crspOut [18]:
| vwretd | vwretx | vwTotVal | vwUsdVal | vwTotCnt | vwUsdCnt | ewretd | ewretx | ewTotVal | ewUsdVal | ewTotCnt | ewUsdCnt | sprtrn | spindx | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| DlyCalDt | ||||||||||||||
| 1925-12-31 | NaN | NaN | 27487487 | NaN | 500 | NaN | NaN | NaN | 27545352 | NaN | 503 | NaN | NaN | NaN |
| 1926-01-02 | 0.005689 | 0.005689 | 27600297 | 2.736676e+07 | 494 | 491.0 | 0.009516 | 0.009516 | 27658600 | 2.742462e+07 | 497 | 494.0 | NaN | NaN |
| 1926-01-04 | 0.000706 | 0.000706 | 27577892 | 2.747972e+07 | 499 | 492.0 | 0.005780 | 0.005780 | 27636515 | 2.753802e+07 | 502 | 495.0 | NaN | NaN |
| 1926-01-05 | -0.004821 | -0.004867 | 27530213 | 2.756176e+07 | 498 | 496.0 | -0.001927 | -0.002030 | 27588552 | 2.762038e+07 | 501 | 499.0 | NaN | NaN |
| 1926-01-06 | -0.000423 | -0.000427 | 27618773 | 2.752684e+07 | 502 | 497.0 | 0.001182 | 0.001155 | 27676674 | 2.758518e+07 | 505 | 500.0 | NaN | NaN |
| ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... |
| 2025-12-24 | 0.002914 | 0.002904 | 88568121481 | 8.831774e+10 | 9126 | 9126.0 | 0.003368 | 0.003125 | 90141105180 | 8.988752e+10 | 9498 | 9498.0 | 0.003221 | 6932.05 |
| 2025-12-26 | -0.000242 | -0.000325 | 88542581122 | 8.856811e+10 | 9124 | 9124.0 | -0.002105 | -0.002373 | 90125553062 | 9.014109e+10 | 9496 | 9496.0 | -0.000304 | 6929.94 |
| 2025-12-29 | -0.004191 | -0.004230 | 88169518843 | 8.854242e+10 | 9123 | 9123.0 | -0.008373 | -0.008603 | 89739994612 | 9.012539e+10 | 9495 | 9495.0 | -0.003492 | 6905.74 |
| 2025-12-30 | -0.001550 | -0.001576 | 88028533719 | 8.816264e+10 | 9132 | 9121.0 | -0.002831 | -0.003547 | 89596162338 | 8.973311e+10 | 9504 | 9493.0 | -0.001376 | 6896.24 |
| 2025-12-31 | -0.007319 | -0.007491 | 87552025121 | 8.802809e+10 | 9134 | 9131.0 | -0.005245 | -0.005627 | 89118194675 | 8.959572e+10 | 9506 | 9503.0 | -0.007358 | 6845.50 |
26301 rows × 14 columns
In [19]:
crsp_2020 = crsp.loc['2020']
print(len(crsp_2020))
crsp_2020Out [19]:
253
| vwretd | vwretx | vwTotVal | vwUsdVal | vwTotCnt | vwUsdCnt | ewretd | ewretx | ewTotVal | ewUsdVal | ewTotCnt | ewUsdCnt | sprtrn | spindx | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| DlyCalDt | ||||||||||||||
| 2020-01-02 | 0.007412 | 0.007316 | 41464754137 | 4.115634e+10 | 6871 | 6866.0 | 0.005470 | 0.005428 | 42902996443 | 4.255570e+10 | 7253 | 7248.0 | 0.008379 | 3257.85 |
| 2020-01-03 | -0.005828 | -0.005900 | 41221078749 | 4.146475e+10 | 6871 | 6871.0 | -0.003057 | -0.003072 | 42645264616 | 4.290300e+10 | 7253 | 7253.0 | -0.007060 | 3234.85 |
| 2020-01-06 | 0.003269 | 0.003245 | 41345986288 | 4.121183e+10 | 6871 | 6869.0 | 0.004548 | 0.004519 | 42768514163 | 4.263602e+10 | 7253 | 7251.0 | 0.003533 | 3246.28 |
| 2020-01-07 | -0.002147 | -0.002216 | 41255461753 | 4.134598e+10 | 6870 | 6870.0 | -0.000041 | -0.000057 | 42699866212 | 4.276851e+10 | 7253 | 7252.0 | -0.002803 | 3237.18 |
| 2020-01-08 | 0.004028 | 0.003996 | 41421675525 | 4.125546e+10 | 6871 | 6870.0 | 0.000914 | 0.000903 | 42870237688 | 4.269987e+10 | 7254 | 7253.0 | 0.004902 | 3253.05 |
| ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... |
| 2020-12-24 | 0.002330 | 0.002195 | 49379202924 | 4.929405e+10 | 7101 | 7101.0 | -0.000277 | -0.000458 | 50948672283 | 5.091918e+10 | 7515 | 7515.0 | 0.003537 | 3703.06 |
| 2020-12-28 | 0.003847 | 0.003836 | 49569832981 | 4.937920e+10 | 7103 | 7101.0 | 0.001350 | 0.001304 | 51120836691 | 5.093776e+10 | 7516 | 7514.0 | 0.008723 | 3735.36 |
| 2020-12-29 | -0.003652 | -0.003660 | 49387356377 | 4.956717e+10 | 7108 | 7101.0 | -0.008483 | -0.008656 | 50978120468 | 5.111818e+10 | 7522 | 7514.0 | -0.002227 | 3727.04 |
| 2020-12-30 | 0.003291 | 0.003124 | 49542217608 | 4.938705e+10 | 7107 | 7105.0 | 0.010155 | 0.009754 | 51166821544 | 5.097782e+10 | 7521 | 7519.0 | 0.001342 | 3732.04 |
| 2020-12-31 | 0.003558 | 0.003499 | 49839515298 | 4.954190e+10 | 7111 | 7105.0 | -0.001058 | -0.001129 | 51464416577 | 5.116650e+10 | 7525 | 7519.0 | 0.006439 | 3756.07 |
253 rows × 14 columns
In [20]:
crsp_2020.to_csv('datasets/CRSP_2020.csv', index=True, encoding='utf-8-sig')In [21]:
check = pd.read_csv('datasets/CRSP_2020.csv')
checkOut [21]:
| DlyCalDt | vwretd | vwretx | vwTotVal | vwUsdVal | vwTotCnt | vwUsdCnt | ewretd | ewretx | ewTotVal | ewUsdVal | ewTotCnt | ewUsdCnt | sprtrn | spindx | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 0 | 2020-01-02 | 0.007412 | 0.007316 | 41464754137 | 4.115634e+10 | 6871 | 6866.0 | 0.005470 | 0.005428 | 42902996443 | 4.255570e+10 | 7253 | 7248.0 | 0.008379 | 3257.85 |
| 1 | 2020-01-03 | -0.005828 | -0.005900 | 41221078749 | 4.146475e+10 | 6871 | 6871.0 | -0.003057 | -0.003072 | 42645264616 | 4.290300e+10 | 7253 | 7253.0 | -0.007060 | 3234.85 |
| 2 | 2020-01-06 | 0.003269 | 0.003245 | 41345986288 | 4.121183e+10 | 6871 | 6869.0 | 0.004548 | 0.004519 | 42768514163 | 4.263602e+10 | 7253 | 7251.0 | 0.003533 | 3246.28 |
| 3 | 2020-01-07 | -0.002147 | -0.002216 | 41255461753 | 4.134598e+10 | 6870 | 6870.0 | -0.000041 | -0.000057 | 42699866212 | 4.276851e+10 | 7253 | 7252.0 | -0.002803 | 3237.18 |
| 4 | 2020-01-08 | 0.004028 | 0.003996 | 41421675525 | 4.125546e+10 | 6871 | 6870.0 | 0.000914 | 0.000903 | 42870237688 | 4.269987e+10 | 7254 | 7253.0 | 0.004902 | 3253.05 |
| ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... |
| 248 | 2020-12-24 | 0.002330 | 0.002195 | 49379202924 | 4.929405e+10 | 7101 | 7101.0 | -0.000277 | -0.000458 | 50948672283 | 5.091918e+10 | 7515 | 7515.0 | 0.003537 | 3703.06 |
| 249 | 2020-12-28 | 0.003847 | 0.003836 | 49569832981 | 4.937920e+10 | 7103 | 7101.0 | 0.001350 | 0.001304 | 51120836691 | 5.093776e+10 | 7516 | 7514.0 | 0.008723 | 3735.36 |
| 250 | 2020-12-29 | -0.003652 | -0.003660 | 49387356377 | 4.956717e+10 | 7108 | 7101.0 | -0.008483 | -0.008656 | 50978120468 | 5.111818e+10 | 7522 | 7514.0 | -0.002227 | 3727.04 |
| 251 | 2020-12-30 | 0.003291 | 0.003124 | 49542217608 | 4.938705e+10 | 7107 | 7105.0 | 0.010155 | 0.009754 | 51166821544 | 5.097782e+10 | 7521 | 7519.0 | 0.001342 | 3732.04 |
| 252 | 2020-12-31 | 0.003558 | 0.003499 | 49839515298 | 4.954190e+10 | 7111 | 7105.0 | -0.001058 | -0.001129 | 51464416577 | 5.116650e+10 | 7525 | 7519.0 | 0.006439 | 3756.07 |
253 rows × 15 columns