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Re: International Stocks PLEASE!!!!!

Sep 23, 2015 "We've just added to the team a ex Compustat guy with 10+ years experience. We'll get some european sample data soon to begin the project."

Nov 2, 2015 "Meeting with S&P Rep tomorrow. She's flying in just to talk to us about European data. "

Nov 3, 2015 "Pretty much what I expected. There's a proposal on the table and is good until the end of this year, next year is more money. I think we can do it: sign by end of the year, take 3 months or so to create the ratios, etc."

Jan 15, 2016 "Compustat resource didn't work out. Not enough SQL experience. We need both skill sets in one person: knowledge of the data (expressfeed, both Compustat and CapitalIq) and ability to write complex SQL queries to prepare the data for our simulation servers. If anyone knows such person let me know. Without this resource Europe is going to be take longer, but we are starting it this first half of this year."

Jan 20, 2016 "Europe by itself is a 3-4 month project, but there are other major projects that we think are important, some visible some not. We are committed to Europe this year. It isn't all that different than US or Canada and the additional resource would have sped up the process somewhat; by a few months perhaps."

Mar 28, 2016 "Before we commit to the data (and expense) we're trying to clear up a lot of issues, some little, some major like the estimates fixes we did (see the announcements forum). We're also cleaning up the website and preparing a new polished look. There's also some under the hood work that should be done before buying the data (mainly with currencies).

Aug 15, 2016 "In other words, we're reflecting , catching up , and cleaning. We still plan to start getting the data this year."

Apr 25, 2017 "There are other things going on that are back-end stuff that are necessary before we go off and add European data. BUT, once we are done (prob end of this year), we will get a much bigger bang once we add other countries."

Jun 12, 2017 “It is our next big project. Thank you all for your comments.”

Jun 16, 2017 "... we still plan to get the data which will likely be on par with US as far as cost (so we need to be sure we can monetize it).

So best case scenario is 5 mo right now."

Jul 12, 2017 "Looks like its moving in the right direction and we are generating biz for S&P. Several Pro users are negotiating licenses. We need to let this play out a bit."

Jul 13, 2018 "Believe it or not we are still finalizing the new contract with S&P. We're are almost done. Only after that we will resurrect Europe with them (and reconsider the crowdfunding) and compare with Factset."

Jan 11, 2019 "I'll be speaking to S&P soon. Flying out there to meet them for this and other matters."

... ?

May 1, 2019 4:03:52 AM       
Re: International Stocks PLEASE!!!!!

It is starting to be long indeed. Deals with S&P Global take a lot of time I have seen this take up to a year at other places. However, I'm starting to think maybe P123 does not have the man power to run an international dataset. I'm no expert but it would require cleaning the data, normalizing the data along with CAN + US. They probably did a back of envelope calculation and came to the conclusion it takes alot of time and money for what it would generate.

I'm just speculating.

May 1, 2019 7:05:57 AM       
Re: International Stocks PLEASE!!!!!

But isn't the data from S&P already normalized across countries?

May 1, 2019 7:50:59 AM       
Re: International Stocks PLEASE!!!!!

Academics who study factors and pricing anomalies have had a huge problem building out comprehensive international datasets with robust quarterly earnings reports similar to what we are accustomed to with US Compustat to test theories globally. ~85% of academic papers on pricing anamolies are solely based on US data. Some efforts are being tried, but it's a huge project that involves merging different datasources. And these are well endowed universities with a large supply of cheap available skilled man hours at their disposal with student workers/graduate assistants. That's not even getting into trying to make apples to apples comparisons across countries with different accounting standards, which probably take a lot of subjective and arbitrary decisions.

Here's an example from a podcast with Lu Zhang of Fisher College at Ohio State and Jeremy Schwartz from Wharton Business School discussing the problem. The whole podcast is good, but they specifically discuss this problem at ~ 16:10 mark.

We often speculate what advantage Renaissance Technologies has over everyone else. I suspect that since Simons has been at this since the 80s, one huge advantage is their own proprietary datasets that they've developed in house over decades, and the equivalent simply aren't available as a commercial product over a significant and robust sample.

May 2, 2019 7:36:53 AM       
Edit 8 times, last edit by InmanRoshi at May 2, 2019 8:51:39 AM
Re: International Stocks PLEASE!!!!!

We often speculate what advantage Renaissance Technologies has over everyone else. I suspect that since Simons has been at this since the 80s, one huge advantage is their own proprietary data sets that they've developed in house capturing historic international data that simply aren't available as a commercial product (as of yet).

True with regard to data.

And perhaps hard to know everything that he may be doing with techniques that create an advantage.

As far as disadvantages faced by many of us:

1) linear assumption and other types of bias in our models. BTW, the linear assumption is more of a problem for 25 stock models than for 5 stock models.

2) lack of regularization. But this is more of a problem for the 5 stock models than the 25 stock models.

3) Data leakage or look-ahead bias not being recognized at crucial times

As good a Simons is he can’t create new number theory. True, what his group does was not taught in elementary school or even most undergraduate programs. But the people that are now hired were taught at Universities and not by some secret cult. It's not magic.


From time to time you will encounter Luddites, who are beyond redemption.
--de Prado, Marcos López on the topic of machine learning for financial applications

May 2, 2019 7:56:45 AM       
Edit 7 times, last edit by Jrinne at May 2, 2019 9:11:55 AM
Re: International Stocks PLEASE!!!!!

Any updates?

Jun 3, 2019 9:55:35 PM       
Re: International Stocks PLEASE!!!!!

Obviosuly NO (ad infinitum).

Jun 4, 2019 2:29:39 AM       
Re: International Stocks PLEASE!!!!!

On the topic of International Stocks .... is there a timeline for when CAN stocks will work with TRADE? What is the issue with why TRADE can't handle it?

Just my $0.02 ... Actually I need that back for my port.

Jun 4, 2019 9:15:44 AM       
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