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.
Cite
@article{arxiv.1706.04210,
title = {Open Source Fundamental Industry Classification},
author = {Zura Kakushadze and Willie Yu},
journal= {arXiv preprint arXiv:1706.04210},
year = {2017}
}
Comments
68 pages; leftover Word "track-changes" highlights removed, no changes in the text