Sergio & Michael,

Thank you for the feedback.

The main purpose of this first post was not so much analysis, but rather to illustrate the application of the EntityStore concept for financial instruments. While the Dataset is a great concept for smaller datasets, it can become unwieldy for larger, non-rectangular datasets that may include both fundamental and technical data series. The steps ahead include the following:

1. Creating a survivor-bias free equities EntityStore
2. Demonstrating how the EntityStore can be used in portfolio construction - I am in the middle of that piece of analysis that I will probably publish as a paper.
3. Incorporation of historical fundamental information into the equities EntityStore. This can be used for factor modelling, stock selection and portfolio construction.

At this point the equities EntityStore will contain historical fundamental, technical (returns, price & volume) and performance-related information (alpha, beta, drift, correlation etc) for around 1000 active stocks and a further 1,000-2,000 delisted securities.

Also included will be a library of routines for portfolio construction and strategy backtesting.

This is potentially a valuable research tool, structured within the very powerful Wolfam framework.

From there my plan is to develop

• similar EntityStores for commodities, equity options and currencies.
• an EntityStore for equity pairs, that will focus on metrics such as correlation and cointegration

I did something similar. I am trying to work on a trading system to estimate where the next set of returns should fall on the indexes and sectors to fill in the gaps, in order to complete a model symmetric returns distribution and volatility clustering profile. I am still working through it, but I think that including some short term VIX trends may help in locating which side of 0 the immediate returns (1-3 days out) will have a higher probability of landing on.

Catalog

Returns Distribution Analysis:

Correlation Matrix

Volatility Plots:

-- you have earned Featured Contributor Badge Your exceptional post has been selected for our editorial column Staff Picks http://wolfr.am/StaffPicks and Your Profile is now distinguished by a Featured Contributor Badge and is displayed on the Featured Contributor Board. Thank you!