Cleaning Academic TRACE in Python (PyCleanTrace)

This code aims at providing a Python-based replication of the SAS code provided in Dick-Nielsen and Poulsen (2019). Specifically, the code provides users with a fully automated way to read-in the raw data provided by FINRA, clean and concatenate the datasets (following the procedure outlined in Dick-Nielsen and Poulsen (2019)) and implement additional cleaning steps common in the literature (see e.g. Bessembinder et al. (2018) and Anand et al. (2020)).

Feedback regarding errors or improvements is highly appreciated.