First, I create two DataFrame: price and factor_data, but when I use the function:get_clean_factor_and_forward_returns. It throws Error: invalid index to scalar variable.
<code>Here are their detailed structure:
- Factor Data Index:
MultiIndex([('2015-01-05 00:00:00+00:00', 'A'),
('2015-01-05 00:00:00+00:00', 'AAL'),
('2015-01-05 00:00:00+00:00', 'AAP'),
('2015-01-05 00:00:00+00:00', 'AAPL'),
('2015-01-05 00:00:00+00:00', 'ABBV'),
('2015-01-05 00:00:00+00:00', 'ABC'),
('2015-01-05 00:00:00+00:00', 'ABG'),
('2015-01-05 00:00:00+00:00', 'ABT'),
('2015-01-05 00:00:00+00:00', 'ACAD'),
('2015-01-05 00:00:00+00:00', 'ACC'),
...
('2017-12-29 00:00:00+00:00', 'IVR'),
('2017-12-29 00:00:00+00:00', 'IQV'),
('2017-12-29 00:00:00+00:00', 'EGBN'),
('2017-12-29 00:00:00+00:00', 'HAE'),
('2017-12-29 00:00:00+00:00', 'NYT'),
('2017-12-29 00:00:00+00:00', 'AVAV'),
('2017-12-29 00:00:00+00:00', 'GDOT'),
('2017-12-29 00:00:00+00:00', 'GTN'),
('2017-12-29 00:00:00+00:00', 'RVNC'),
('2017-12-29 00:00:00+00:00', 'NETE')],
names=['date', 'asset'], length=752773)
- Prices Index:
DatetimeIndex(['2015-01-05 00:00:00+00:00', '2015-01-06 00:00:00+00:00',
'2015-01-07 00:00:00+00:00', '2015-01-08 00:00:00+00:00',
'2015-01-09 00:00:00+00:00', '2015-01-12 00:00:00+00:00',
'2015-01-13 00:00:00+00:00', '2015-01-14 00:00:00+00:00',
'2015-01-15 00:00:00+00:00', '2015-01-16 00:00:00+00:00',
...
'2017-12-15 00:00:00+00:00', '2017-12-18 00:00:00+00:00',
'2017-12-19 00:00:00+00:00', '2017-12-20 00:00:00+00:00',
'2017-12-21 00:00:00+00:00', '2017-12-22 00:00:00+00:00',
'2017-12-26 00:00:00+00:00', '2017-12-27 00:00:00+00:00',
'2017-12-28 00:00:00+00:00', '2017-12-29 00:00:00+00:00'],
dtype='datetime64[ns, UTC]', length=754, freq=None)
- Factor Data Columns:
Index(['factor'], dtype='object')
- Prices Columns:
Index(['A', 'AAL', 'AAP', 'AAPL', 'ABBV', 'ABC', 'ABG', 'ABT', 'ACAD', 'ACC',
...
'CHE', 'EGBN', 'HAE', 'NYT', 'APTV', 'AVAV', 'GDOT', 'GTN', 'RVNC',
'NETE'],
dtype='object', length=1649)
</code>
<code>Here are their detailed structure:
- Factor Data Index:
MultiIndex([('2015-01-05 00:00:00+00:00', 'A'),
('2015-01-05 00:00:00+00:00', 'AAL'),
('2015-01-05 00:00:00+00:00', 'AAP'),
('2015-01-05 00:00:00+00:00', 'AAPL'),
('2015-01-05 00:00:00+00:00', 'ABBV'),
('2015-01-05 00:00:00+00:00', 'ABC'),
('2015-01-05 00:00:00+00:00', 'ABG'),
('2015-01-05 00:00:00+00:00', 'ABT'),
('2015-01-05 00:00:00+00:00', 'ACAD'),
('2015-01-05 00:00:00+00:00', 'ACC'),
...
('2017-12-29 00:00:00+00:00', 'IVR'),
('2017-12-29 00:00:00+00:00', 'IQV'),
('2017-12-29 00:00:00+00:00', 'EGBN'),
('2017-12-29 00:00:00+00:00', 'HAE'),
('2017-12-29 00:00:00+00:00', 'NYT'),
('2017-12-29 00:00:00+00:00', 'AVAV'),
('2017-12-29 00:00:00+00:00', 'GDOT'),
('2017-12-29 00:00:00+00:00', 'GTN'),
('2017-12-29 00:00:00+00:00', 'RVNC'),
('2017-12-29 00:00:00+00:00', 'NETE')],
names=['date', 'asset'], length=752773)
- Prices Index:
DatetimeIndex(['2015-01-05 00:00:00+00:00', '2015-01-06 00:00:00+00:00',
'2015-01-07 00:00:00+00:00', '2015-01-08 00:00:00+00:00',
'2015-01-09 00:00:00+00:00', '2015-01-12 00:00:00+00:00',
'2015-01-13 00:00:00+00:00', '2015-01-14 00:00:00+00:00',
'2015-01-15 00:00:00+00:00', '2015-01-16 00:00:00+00:00',
...
'2017-12-15 00:00:00+00:00', '2017-12-18 00:00:00+00:00',
'2017-12-19 00:00:00+00:00', '2017-12-20 00:00:00+00:00',
'2017-12-21 00:00:00+00:00', '2017-12-22 00:00:00+00:00',
'2017-12-26 00:00:00+00:00', '2017-12-27 00:00:00+00:00',
'2017-12-28 00:00:00+00:00', '2017-12-29 00:00:00+00:00'],
dtype='datetime64[ns, UTC]', length=754, freq=None)
- Factor Data Columns:
Index(['factor'], dtype='object')
- Prices Columns:
Index(['A', 'AAL', 'AAP', 'AAPL', 'ABBV', 'ABC', 'ABG', 'ABT', 'ACAD', 'ACC',
...
'CHE', 'EGBN', 'HAE', 'NYT', 'APTV', 'AVAV', 'GDOT', 'GTN', 'RVNC',
'NETE'],
dtype='object', length=1649)
</code>
Here are their detailed structure:
- Factor Data Index:
MultiIndex([('2015-01-05 00:00:00+00:00', 'A'),
('2015-01-05 00:00:00+00:00', 'AAL'),
('2015-01-05 00:00:00+00:00', 'AAP'),
('2015-01-05 00:00:00+00:00', 'AAPL'),
('2015-01-05 00:00:00+00:00', 'ABBV'),
('2015-01-05 00:00:00+00:00', 'ABC'),
('2015-01-05 00:00:00+00:00', 'ABG'),
('2015-01-05 00:00:00+00:00', 'ABT'),
('2015-01-05 00:00:00+00:00', 'ACAD'),
('2015-01-05 00:00:00+00:00', 'ACC'),
...
('2017-12-29 00:00:00+00:00', 'IVR'),
('2017-12-29 00:00:00+00:00', 'IQV'),
('2017-12-29 00:00:00+00:00', 'EGBN'),
('2017-12-29 00:00:00+00:00', 'HAE'),
('2017-12-29 00:00:00+00:00', 'NYT'),
('2017-12-29 00:00:00+00:00', 'AVAV'),
('2017-12-29 00:00:00+00:00', 'GDOT'),
('2017-12-29 00:00:00+00:00', 'GTN'),
('2017-12-29 00:00:00+00:00', 'RVNC'),
('2017-12-29 00:00:00+00:00', 'NETE')],
names=['date', 'asset'], length=752773)
- Prices Index:
DatetimeIndex(['2015-01-05 00:00:00+00:00', '2015-01-06 00:00:00+00:00',
'2015-01-07 00:00:00+00:00', '2015-01-08 00:00:00+00:00',
'2015-01-09 00:00:00+00:00', '2015-01-12 00:00:00+00:00',
'2015-01-13 00:00:00+00:00', '2015-01-14 00:00:00+00:00',
'2015-01-15 00:00:00+00:00', '2015-01-16 00:00:00+00:00',
...
'2017-12-15 00:00:00+00:00', '2017-12-18 00:00:00+00:00',
'2017-12-19 00:00:00+00:00', '2017-12-20 00:00:00+00:00',
'2017-12-21 00:00:00+00:00', '2017-12-22 00:00:00+00:00',
'2017-12-26 00:00:00+00:00', '2017-12-27 00:00:00+00:00',
'2017-12-28 00:00:00+00:00', '2017-12-29 00:00:00+00:00'],
dtype='datetime64[ns, UTC]', length=754, freq=None)
- Factor Data Columns:
Index(['factor'], dtype='object')
- Prices Columns:
Index(['A', 'AAL', 'AAP', 'AAPL', 'ABBV', 'ABC', 'ABG', 'ABT', 'ACAD', 'ACC',
...
'CHE', 'EGBN', 'HAE', 'NYT', 'APTV', 'AVAV', 'GDOT', 'GTN', 'RVNC',
'NETE'],
dtype='object', length=1649)
I ask ChatGPT,and all types and indexes of the parameters are checked
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