Fama-French Factor Replication
Academic research implementation—Size & Value factors
PythonNumPyPandasScikit-learnFinancial APIs
Research-grade implementation of the Fama-French 3-factor model. Downloads historical OHLCV data, computes firm-level characteristics, and constructs Size (SMB) and Value (HML) factor portfolios.
- › Data pipeline: raw market data → factor returns
- › Fama-MacBeth regression for factor testing
- › Comprehensive performance attribution analysis
- › Production data quality validation