Open Source Fundamental Industry Classification
AbstractAbstract: We provide complete source code for building a fundamental industry classification based on publicly 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. View Full-Text
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Kakushadze, Z.; Yu, W. Open Source Fundamental Industry Classification. Data 2017, 2, 20.
Kakushadze Z, Yu W. Open Source Fundamental Industry Classification. Data. 2017; 2(2):20.Chicago/Turabian Style
Kakushadze, Zura; Yu, Willie. 2017. "Open Source Fundamental Industry Classification." Data 2, no. 2: 20.
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