According to the data structure, we can construct the factor easily without reshape or pivot the data.
- You can simply use basic arithmetic operator to construct the factor element-wise.
- You can simply use rolling window function to perform time-series calculation without reshape data by stock name.
- You can simply specify the axis=1 to perform cross-sectional calculation.
Fire project will provide more functions(algorithm) to construct the factor. In this section, we will introduce the functions that are already implemented, and we will construct the factor mentioned in the Book