Open Source Fundamental Industry Classification

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' 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

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Year of publication:	2017
Authors:	Kakushadze, Zura
Other Persons:	Yu, Willie (contributor)
Publisher:	[2017]: [S.l.] : SSRN
Subject:	Open Source \| Open source \| Klassifikation \| Classification \| Branchenklassifikation \| Industry classification \| Produktionsstatistik \| Production statistics \| Software

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