Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 13, 2019 erstellt
Description:
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