Open Source Fundamental Industry Classification
作者： Zura Kakushadze , Willie Yu
DOI: 10.2139/SSRN.2954300
关键词:
摘要: We provide complete source code for building a fundamental industry classification based on publically available and freely downloadable data. compare various classifications by running horserace of short-horizon trading signals (alphas) utilizing open heterotic risk models (http://ssrn.com/abstract=2600798) built using such classifications. Our includes stand-alone portable modules, e.g., downloading/parsing web data, etc.
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