15 votes

Usage of Random forests in Quantitative analysis of stocks

Recently I attended a presentation by the first author of the following paper who gave us quite a creative and illuminating (kind of meta-)use of random forests in Quant Finance: All that Glitters Is ...
vonjd's user avatar
  • 27.4k
3 votes

Fortune 1000 companies: which are public utilities?

Here is a list you can download from NASDAQ. Nasdaq Industry List
Joseph Roberts's user avatar
3 votes

How to get know when CUSIP is changed

The framework that manages CUSIP assignment is proprietary and managed by CUSIP Global Services (a subsidiary of S&P Global). The CUSIP Global Services Master File is web-based platform & API ...
Thomas Boyd's user avatar
2 votes

Accurate model but execution in backtesting is losing money

Can I ask what type of backetest you are using? Is it an event-driven backtest or a simple for-loop backtest. Depending on whether you wrote your own or are using a library for it, try and analyse a ...
Hamish Gibson's user avatar
2 votes

Rare Events in Normal Multivariate distributions

If you’re comfortable making the assumption of multivariate normality (I’m not sure that you are), then this seems like a perfect place to use Mahalanobis distance. One of the first facts that ...
Dave's user avatar
  • 353
2 votes

Fortune 1000 companies: which are public utilities?

Just from the EDGAR SIC codes, it won't be possible to tell which are regulated to my knoweldge - this classification method specifically applies to companies by industry. The 4900-4999 is going to be ...
sgdata's user avatar
  • 176
1 vote

Usage of Random forests in Quantitative analysis of stocks

A very interesting application of random forests can be found in the following paper which presents a model to predict when short-term stock market return will be negative: Davis, Carter, Predictable ...
vonjd's user avatar
  • 27.4k

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