- Cover
- Preface
- Acknowledgments
- PART 1: Introduction and Theory
- CHAPTER 1: Alternative Data: The Lay of the Land
- 1.1 INTRODUCTION
- 1.2 WHAT IS “ALTERNATIVE DATA”?
- 1.3 SEGMENTATION OF ALTERNATIVE DATA
- 1.4 THE MANY VS OF BIG DATA
- 1.5 WHY ALTERNATIVE DATA?
- 1.6 WHO IS USING ALTERNATIVE DATA?
- 1.7 CAPACITY OF A STRATEGY AND ALTERNATIVE DATA
- 1.8 ALTERNATIVE DATA DIMENSIONS
- 1.9 WHO ARE THE ALTERNATIVE DATA VENDORS?
- 1.10 USAGE OF ALTERNATIVE DATASETS ON THE BUY SIDE
- 1.11 CONCLUSION
- NOTES
- CHAPTER 2: The Value of Alternative Data
- 2.1 INTRODUCTION
- 2.2 THE DECAY OF INVESTMENT VALUE
- 2.3 DATA MARKETS
- 2.4 THE MONETARY VALUE OF DATA (PART I)
- 2.5 EVALUATING (ALTERNATIVE) DATA STRATEGIES WITH AND WITHOUT BACKTESTING
- 2.6 THE MONETARY VALUE OF DATA (PART II)
- 2.7 THE ADVANTAGES OF MATURING ALTERNATIVE DATASETS
- 2.8 SUMMARY
- NOTES
- CHAPTER 3: Alternative Data Risks and Challenges
- 3.1 LEGAL ASPECTS OF DATA
- 3.2 RISKS OF USING ALTERNATIVE DATA
- 3.3 CHALLENGES OF USING ALTERNATIVE DATA
- 3.4 AGGREGATING THE DATA
- 3.5 SUMMARY
- NOTES
- CHAPTER 4: Machine Learning Techniques
- 4.1. INTRODUCTION
- 4.2. MACHINE LEARNING: DEFINITIONS AND TECHNIQUES
- 4.3. WHICH TECHNIQUE TO CHOOSE?
- 4.4. ASSUMPTIONS AND LIMITATIONS OF THE MACHINE LEARNING TECHNIQUES
- 4.5. STRUCTURING IMAGES
- 4.6. NATURAL LANGUAGE PROCESSING (NLP)
- 4.7. SUMMARY
- NOTES
- CHAPTER 5: The Processes behind the Use of Alternative Data
- 5.1. INTRODUCTION
- 5.2. STEPS IN THE ALTERNATIVE DATA JOURNEY
- 5.3. STRUCTURING TEAMS TO USE ALTERNATIVE DATA
- 5.4. DATA VENDORS
- 5.5. SUMMARY
- NOTES
- CHAPTER 6: Factor Investing
- 6.1. INTRODUCTION
- 6.2. FACTOR MODELS
- 6.3. THE DIFFERENCE BETWEEN CROSS-SECTIONAL AND TIME SERIES TRADING APPROACHES
- 6.4. WHY FACTOR INVESTING?
- 6.5. SMART BETA INDICES USING ALTERNATIVE DATA INPUTS
- 6.6. ESG FACTORS
- 6.7. DIRECT AND INDIRECT PREDICTION
- 6.8. SUMMARY
- NOTES
- PART 2: Practical Applications
- CHAPTER 7: Missing Data: Background
- 7.1. INTRODUCTION
- 7.2. MISSING DATA CLASSIFICATION
- 7.3. LITERATURE OVERVIEW OF MISSING DATA TREATMENTS
- 7.4. SUMMARY
- NOTES
- CHAPTER 8: Missing Data: Case Studies
- 8.1. INTRODUCTION
- 8.2. CASE STUDY: IMPUTING MISSING VALUES IN MULTIVARIATE CREDIT DEFAULT SWAP TIME SERIES
- 8.3. CASE STUDY: SATELLITE IMAGES
- 8.4. SUMMARY
- 8.5. APPENDIX: GENERAL DESCRIPTION OF THE MICE PROCEDURE
- 8.6. APPENDIX: SOFTWARE LIBRARIES USED IN THIS CHAPTER
- NOTES
- CHAPTER 9: Outliers (Anomalies)
- 9.1. INTRODUCTION
- 9.2. OUTLIERS DEFINITION, CLASSIFICATION, AND APPROACHES TO DETECTION
- 9.3. TEMPORAL STRUCTURE
- 9.4. GLOBAL VERSUS LOCAL OUTLIERS, POINT ANOMALIES, AND MICRO-CLUSTERS
- 9.5. OUTLIER DETECTION PROBLEM SETUP
- 9.6. COMPARATIVE EVALUATION OF OUTLIER DETECTION ALGORITHMS
- 9.7. APPROACHES TO OUTLIER EXPLANATION
- 9.8. CASE STUDY: OUTLIER DETECTION ON FED COMMUNICATIONS INDEX
- 9.9. SUMMARY
- 9.10. APPENDIX
- NOTES
- CHAPTER 10: Automotive Fundamental Data
- 10.1. INTRODUCTION
- 10.2. DATA
- 10.3. APPROACH 1: INDIRECT APPROACH
- 10.4. APPROACH 2: DIRECT APPROACH
- 10.5. GAUSSIAN PROCESSES EXAMPLE
- 10.6. SUMMARY
- 10.7. APPENDIX
- NOTES
- CHAPTER 11: Surveys and Crowdsourced Data
- 11.1. INTRODUCTION
- 11.2. SURVEY DATA AS ALTERNATIVE DATA
- 11.3. THE DATA
- 11.4. THE PRODUCT
- 11.5. CASE STUDIES
- 11.6. SOME TECHNICAL CONSIDERATIONS ON SURVEYS
- 11.7. CROWDSOURCING ANALYST ESTIMATES SURVEY
- 11.8. ALPHA CAPTURE DATA
- 11.9. SUMMARY
- 11.10. APPENDIX
- NOTES
- CHAPTER 12: Purchasing Managers' Index
- 12.1. INTRODUCTION
- 12.2. PMI PERFORMANCE
- 12.3. NOWCASTING GDP GROWTH
- 12.4. IMPACTS ON FINANCIAL MARKETS
- 12.5. SUMMARY
- NOTES
- CHAPTER 13: Satellite Imagery and Aerial Photography
- 13.1. INTRODUCTION
- 13.2. FORECASTING US EXPORT GROWTH
- 13.3. CAR COUNTS AND EARNINGS PER SHARE FOR RETAILERS
- 13.4. MEASURING CHINESE PMI MANUFACTURING WITH SATELLITE DATA
- 13.5. SUMMARY
- CHAPTER 14: Location Data
- 14.1. INTRODUCTION
- 14.2. SHIPPING DATA TO TRACK CRUDE OIL SUPPLIES
- 14.3. MOBILE PHONE LOCATION DATA TO UNDERSTAND RETAIL ACTIVITY
- 14.4. TAXI RIDE DATA AND NEW YORK FED MEETINGS
- 14.5. CORPORATE JET LOCATION DATA AND M&A
- 14.6. SUMMARY
- NOTE
- CHAPTER 15: Text, Web, Social Media, and News
- 15.1. INTRODUCTION
- 15.2. COLLECTING WEB DATA
- 15.3. SOCIAL MEDIA
- 15.4. NEWS
- 15.5. OTHER WEB SOURCES
- 15.6. SUMMARY
- NOTES
- CHAPTER 16: Investor Attention
- 16.1. INTRODUCTION
- 16.2. READERSHIP OF PAYROLLS TO MEASURE INVESTOR ATTENTION
- 16.3. GOOGLE TRENDS DATA TO MEASURE MARKET THEMES
- 16.4. INVESTOPEDIA SEARCH DATA TO MEASURE INVESTOR ANXIETY
- 16.5. USING WIKIPEDIA TO UNDERSTAND PRICE ACTION IN CRYPTOCURRENCIES
- 16.6. ONLINE ATTENTION FOR COUNTRIES TO INFORM EMFX TRADING
- 16.7. SUMMARY
- CHAPTER 17: Consumer Transactions
- 17.1. INTRODUCTION
- 17.2. CREDIT AND DEBIT CARD TRANSACTION DATA
- 17.3. CONSUMER RECEIPTS
- 17.4. SUMMARY
- NOTE
- CHAPTER 18: Government, Industrial, and Corporate Data
- 18.1. INTRODUCTION
- 18.2. USING INNOVATION MEASURES TO TRADE EQUITIES
- 18.3. QUANTIFYING CURRENCY CRISIS RISK
- 18.4. MODELING CENTRAL BANK INTERVENTION IN CURRENCY MARKETS
- 18.5. SUMMARY
- CHAPTER 19: Market Data
- 19.1. INTRODUCTION
- 19.2. RELATIONSHIP BETWEEN INSTITUTIONAL FX FLOW DATA AND FX SPOT
- 19.3. UNDERSTANDING LIQUIDITY USING HIGH-FREQUENCY FX DATA
- 19.4. SUMMARY
- NOTE
- CHAPTER 20: Alternative Data in Private Markets
- 20.1. INTRODUCTION
- 20.2. DEFINING PRIVATE EQUITY AND VENTURE CAPITAL FIRMS
- 20.3. PRIVATE EQUITY DATASETS
- 20.4. UNDERSTANDING THE PERFORMANCE OF PRIVATE FIRMS
- 20.5. SUMMARY
- Conclusions
- References
- About the Authors
- Index
- End User License Agreement
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