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Open Source Fundamental Industry Classification

Author

Listed:
  • Zura Kakushadze
  • Willie Yu

Abstract

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.

Suggested Citation

  • Zura Kakushadze & Willie Yu, 2017. "Open Source Fundamental Industry Classification," Papers 1706.04210, arXiv.org, revised Dec 2017.
    • Handle: RePEc:arx:papers:1706.04210
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    References listed on IDEAS

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    Cited by:

    1. Zura Kakushadze & Willie Yu, 2018. "Stock Market Visualization," Papers 1802.05264, arXiv.org.
    2. Zura Kakushadze, 2020. "Quant Bust 2020," Papers 2006.05632, arXiv.org.

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