Trading Strategies on the European Stock Market

• Trading Strategies on the European Stock Market
  • Data
  • Libraries
    • Technical Indicators
  • References
    • Factor Investing with Machine Learning
    • Market Anomolies
    • Firm Characteristics
    • Technical Indicators
    • Model Interpretation and Feature Selection

Data

Data is extracted from Compustat and IBES via WRDS. For more information, go to data.

Libraries

Technical Indicators

TA-Lib
FinTA
ta

References

Factor Investing with Machine Learning

Machine Learning for Factor Investing
Machine Learning in Asset Management
Empirical Asset Pricing via Machine Learning
Does It Pay to Follow Anomalies Research? Machine Learning Approach with International Evidence
Tree-Based Conditional Portfolio Sorts: The Relation between Past and Future Stock Returns

Market Anomolies

Asset Pricing
Replicating Anomalies

Firm Characteristics

The Characteristics that Provide Independent Information about Average U.S. Monthly Stock Returns
Firm Characteristics and Expected Stock Returns

Technical Indicators

Trading Systems and Methods
101 Formulaic Alphas

Model Interpretation and Feature Selection

A Unified Approach to Interpreting Model Predictions
The Best Way to Select Features?