Data
The High-Frequency Factor Zoo
1-Minute Factor Returns: Stored in /data/proc/factor_returns_1min_all/by_date as monthly parquet files; each file contains 1-minute percent returns including the adjusted overnight return for 272 portfolios; see paper and appendix for info on construction; you can read the files in Python with pandas.read_parquet or with R using read_parquet.
Factor Key: A spreadsheet with citations and descriptions for each factor is given in /docs/factor_cite_info_fmt.xlsx. The Fama-French factors start with the prefix "ff," while the industry portfolios start with the prefix "ind48." Classifications for each of the factors are given in /docs/cluster_classifications.csv.
News and Asset Pricing: A High-Frequency
Anatomy of the SDF
1-Minute Tangency Portfolio Returns: Given in the file /data/returns_ff6_plus_tangency.csv as log returns along with those of the FF6 factors; see paper and appendix for info on construction.