Open Source Fundamental Industry Classification
Quantigic® Solutions LLC, 1127 High Ridge Road, #135, Stamford, CT 06905, USA
Business School & School of Physics, Free University of Tbilisi, 240 David Agmashenebeli Alley, Tbilisi 0159, Georgia
Centre for Computational Biology, Duke-NUS Medical School, 8 College Road, Singapore 169857, Singapore
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Received: 1 May 2017 / Revised: 13 June 2017 / Accepted: 14 June 2017 / Published: 17 June 2017
: 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.
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MDPI and ACS Style
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.
Kakushadze, Zura; Yu, Willie. 2017. "Open Source Fundamental Industry Classification." Data 2, no. 2: 20.
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