Fundamental data pertains to the economic drivers that determine the value of securities. The nature of the data depends on the asset class:
- For equities and corporate credit, it includes corporate financials as well as industry and economy-wide data.
- For government bonds, it includes international macro-data and foreign exchange.
- For commodities, it includes asset-specific supply-and-demand determinants, such as weather data for crops.
We will focus on equity fundamentals for the US, where data is easier to access. There are some 13,000+ public companies worldwide that generate 2 million pages of annual reports and 30,000+ hours of earnings calls. In algorithmic trading, fundamental data and features engineered from this data may be used to derive trading signals directly, for example as value indicators, and are an essential input for predictive...
