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 ...
3
votes
Fortune 1000 companies: which are public utilities?
Here is a list you can download from NASDAQ.
Nasdaq Industry List
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 ...
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 ...
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 ...
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 ...
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 ...
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