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- W2467015065 abstract "We give complete algorithms and source code for constructing (multilevel) statistical industry classifications, including methods for fixing the number of clusters at each level (and the number of levels). Under the hood there are clustering algorithms (e.g., k-means). However, what should we cluster? Correlations? Returns? The answer turns out to be neither and our backtests suggest that these details make a sizable difference. We also give an algorithm and source code for building hybrid industry classifications by improving off-the-shelf fundamental industry classifications by applying our statistical industry classification methods to them. The presentation is intended to be pedagogical and geared toward practical applications in quantitative trading." @default.
- W2467015065 created "2016-07-22" @default.
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- W2467015065 date "2016-01-01" @default.
- W2467015065 modified "2023-10-01" @default.
- W2467015065 title "Statistical Industry Classification" @default.
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- W2467015065 doi "https://doi.org/10.2139/ssrn.2802753" @default.
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