arXiv Open Access 2017

Open Source Fundamental Industry Classification

Zura Kakushadze Willie Yu

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Abstrak

We provide complete source code for building a fundamental industry classification based on publically available and freely downloadable data. We compare various fundamental industry classifications by running a horserace of short-horizon trading signals (alphas) utilizing open source heterotic risk models (https://ssrn.com/abstract=2600798) built using such industry classifications. Our source code includes various stand-alone and portable modules, e.g., for downloading/parsing web data, etc.

Topik & Kata Kunci

q-fin.GN q-fin.CP

Penulis (2)

Zura Kakushadze

Willie Yu

Format Sitasi

APA MLA BibTeX

Kakushadze, Z., Yu, W. (2017). Open Source Fundamental Industry Classification. https://arxiv.org/abs/1706.04210

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Informasi Jurnal

Tahun Terbit: 2017
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓