Machine Learning Toolbox in Asset Pricing

ML_toolbox is an open-source framework written in Python for the flexible replication of the results documented in Gu et al. (2020), Empirical Asset Pricing via Machine Learning. The toolbox provides the user with a flexible and fully automated process of i) sourcing the required raw data from WRDS, ii) cleaning and processing the data, iii) creating the 94 features used in Gu et al. (2020), and iv) replicate the key results in the paper.