Open Source Fundamental Industry Classification

Zura Kakushadze and Willie Yu

Papers from arXiv.org

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.

Date: 2017-06, Revised 2017-12
New Economics Papers: this item is included in nep-cmp
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Citations: View citations in EconPapers (2)

Published in Data 2(2) (2017) 20

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1706.04210

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