Code

All code for the project is available on Github: https://github.com/OpenSourceAP/CrossSection/

  • Check out the code to understand how each signal is constructed
  • If you find mistakes, please let us know by opening an issue
  • If you want to provide code to construct additional signals, open a pull request to let us integrate it in the code base

In addition, we provide demo code to illustrate a few simple things one can do with the datasets that we provide: https://github.com/OpenSourceAP/CrossSectionDemos

  • Each file is an independent script that automatically downloads data from the internet. You just need the googledrive R package and a Google Drive account.
  • For instance, the plot_anomaly.R lets you plot an anomaly’s cumulative return together with sample end and publication dates:

Code releases