Open Source Fundamental Industry Classification
Data 2(2) (2017) 20
68 Pages Posted: 19 Apr 2017 Last revised: 26 Dec 2017
Date Written: June 13, 2017
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 (http://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
JEL Classification: G00
Suggested Citation: Suggested Citation