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-Expected return on a stock given revenue?
-Risk Metrics i.e. VAR and investment thresholds
Uncertainty in EPS, guidance, Revenue|estimate
-What stocks are suseptible to an earnings surprise?
-How could we tell if the edge is dissapearing?
-Gather features related to a stock (size, price history, fundamentals history, sector, etc.) and use these to predict price given revenue
-Cross validate using groups of stocks and groups of time periods as holdout to ensure proper generalization
-Predict each quarter for a range of possible revenue values
-Tends to be more theory driven, or particular treatment of a given stock
-Time series for each individual equity
-Testing Specific hypotheses for a given
-Loosely based on baseball's PECOTA
-Determine similarity metrics based on
History of revenue/price
Fundamental qualities of the company
-Pick KNN to the target equity
-Average reaction for target stock based on historical reactions of similar stocks
Important Factors
Past surprises
Immediate Reaction vs Drift
Other important factors
Every Equity Currently Listed on AMEX, NASDAQ, or NYSE
concerned about survival bias
Only included firms in 3 sectors & 20 Industries
Market Capitalization >=$100M
MySql DB to integtrate sources
X% had info from All Sources
X% Missing Estimize (fixable with expecation model)
X% Missing prices (dropped)
X% Missing SEC Filing
X% Missing Transcripts
X% had truncated time period
Expectations
Estimize where available
Time Series Model of Revenue
Change in Stock Price
Actuals
Agreement between sources
Accuracy of Expectations
Surprise Index
Look at multiple Periods
-2 days to +1 day
-2 days to +7 days
Movement in Stock Price
Raw Return
Adjusted for Volitility
Simple -1,0,+1 for Positive, Negative, Neutral return
Total Volume of Trades
with Clients and Partners