Sector categorization using gradient boosted trees trained on fundamental firm data

被引:1
作者
Fang, Ming [1 ]
Kuo, Lilian [2 ]
Shih, Frank [2 ]
Taylor, Stephen [1 ,3 ]
机构
[1] Martin Tuchman Sch Management, 3000 Cent Ave Bldg Cab, Newark, NJ 07103 USA
[2] NJIT Dept Comp Sci, Newark, NJ USA
[3] Charles Univ Prague, Fac Math & Phys, Dept Probabil & Math Stat, Sokolovska 83, Prague 18675, Czech Republic
关键词
GICS sector; gradient boosted trees; fundamental data; financial ratios; INDUSTRY CLASSIFICATION; STOCKS; PATTERNS; RETURNS;
D O I
10.3233/AF-200308
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We examine to what extent the GICS sector categorization of equity securities may be systematically reconstructed from historical quarterly firm fundamental data using gradient boosted tree classification. Model complexity and performance tradeoffs are examined and relative feature importance is described. Potential extensions are outlined including ideas to improve feature engineering, validating internal consistency and integrating additional data sources to further improve classification accuracy.
引用
收藏
页码:91 / 99
页数:9
相关论文
共 19 条
[1]  
Altman EI, 1977, Journal of Banking and Finance, V1, P29, DOI DOI 10.1016/0378-4266(77)90017-6
[2]  
[Anonymous], 2017, 31 C NEUR INF PROC S
[3]  
Bouchaud J.P., 2000, STAT PHYS RISK MANAG
[4]  
Chatterjee S., 1988, Sensitivity analysis in linear regression
[5]   BUSINESS CONDITIONS AND EXPECTED RETURNS ON STOCKS AND BONDS [J].
FAMA, EF ;
FRENCH, KR .
JOURNAL OF FINANCIAL ECONOMICS, 1989, 25 (01) :23-49
[6]   COMMON RISK-FACTORS IN THE RETURNS ON STOCKS AND BONDS [J].
FAMA, EF ;
FRENCH, KR .
JOURNAL OF FINANCIAL ECONOMICS, 1993, 33 (01) :3-56
[7]  
GOMBOLA MJ, 1983, ACCOUNT REV, V58, P105
[8]   STOCK-PRICE CLUSTERING AND DISCRETENESS [J].
HARRIS, L .
REVIEW OF FINANCIAL STUDIES, 1991, 4 (03) :389-415
[9]   A comparison of industry classification schemes: A large sample study [J].
Hrazdil, Karel ;
Trottier, Kim ;
Zhang, Ray .
ECONOMICS LETTERS, 2013, 118 (01) :77-80
[10]   The importance of industry classification in estimating concentration ratios [J].
Hrazdil, Karel ;
Zhang, Ray .
ECONOMICS LETTERS, 2012, 114 (02) :224-227