Open Source Fundamental Industry Classification

Zura Kakushadze and Willie Yu
Additional contact information
Zura Kakushadze: Quantigic® Solutions LLC, 1127 High Ridge Road, #135, Stamford, CT 06905, USA
Willie Yu: Centre for Computational Biology, Duke-NUS Medical School, 8 College Road, Singapore 169857, Singapore

Data, 2017, vol. 2, issue 2, 1-77

Abstract: Abstract : 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.

Keywords: industry classification; fundamental; open source; source code; stocks; hierarchy; GICS; BICS; ICB; NAICS; SIC; TRBC; quantitative trading; trading signal; alpha; risk model; mean-reversion; optimization; short-horizon; backtest; simulation; download (search for similar items in EconPapers)
JEL-codes: C8 C80 C81 C82 C83 (search for similar items in EconPapers)
Date: 2017
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