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Brain Machine Learning Stock Ranking

Data Feed by Brain

Added as Candidate: Apr. 26, 2019

Candidate Product
Candidate Definition
This product is in the review and/or onboarding process towards full availability. It is not currently available for purchase via FactSet.
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Highlights
  • Enhance quantitative models and long short strategies by adding a multi-factor ranking that non-linearly combines stock specific market data (price, volume, fundamentals) with market regimes indicators and calendar anomalies using advanced Machine Learning techniques.
  • Rely on a robust Machine Learning approach that incorporates a series of techniques to mitigate the overfitting problem that often plagues financial data with a low signal to noise ratio. The model uses a dynamic universe that is rebalanced each year to avoid survivorship bias.
  • Discover signal value and explore model data with free trial access to approximately 10 years of daily rankings history.
Feed Details
Brain Machine Learning Stock Rankings are generated daily and based on the predicted future returns of a dynamic universe of the largest 1,000 US stocks across four time horizons: 2,3, 5 and 10 days. The universe is updated yearly.

Model inputs include stock specific features such as fundamentals and price-volume related metrics, market data such as volatility and other financial stress indicators, and calendar related signals such as day or month anomalies.

Firm Information
Brain is a Research Company that develops proprietary signals and algorithms for investment strategies on financial markets.

Technologies and products include a Natural Language Processing platform and a Machine Learning Infrastructure. All software is highly customizable to support specific research and development requirements.

Brain also partners with clients to assist in the development, optimization and validation of their own proprietary models.