Upload folder using huggingface_hub
Browse files- README.md +13 -11
- recent.parquet +2 -2
- recent_clean.parquet +2 -2
- test.parquet +2 -2
- test_clean.parquet +2 -2
- train.parquet +2 -2
- train_clean.parquet +2 -2
- validation.parquet +2 -2
- validation_clean.parquet +2 -2
README.md
CHANGED
|
@@ -37,7 +37,7 @@ No market prices or equity trading data are included, eliminating survivorship b
|
|
| 37 |
|
| 38 |
## Supported Tasks
|
| 39 |
|
| 40 |
-
- **Tabular Classification**: Predict financial distress, value creation, fundamental improvement
|
| 41 |
- **Tabular Regression**: Predict quality scores (f_score, z_prime_score, composite_quality_score), growth rates
|
| 42 |
- **Anomaly Detection**: Identify companies in financial distress or with QA anomalies
|
| 43 |
|
|
@@ -50,9 +50,9 @@ No market prices or equity trading data are included, eliminating survivorship b
|
|
| 50 |
| train | 221,779 | 11,786 | 2008-12-31 to 2019-12-31 |
|
| 51 |
| validation | 45,109 | 7,207 | 2020-01-31 to 2021-12-31 |
|
| 52 |
| test | 47,334 | 7,208 | 2022-01-31 to 2023-12-31 |
|
| 53 |
-
| recent |
|
| 54 |
|
| 55 |
-
**Total records:**
|
| 56 |
|
| 57 |
### Feature Groups
|
| 58 |
|
|
@@ -78,18 +78,18 @@ No market prices or equity trading data are included, eliminating survivorship b
|
|
| 78 |
|
| 79 |
## Target Columns
|
| 80 |
|
| 81 |
-
|
| 82 |
|
| 83 |
### 1-Year Targets
|
| 84 |
- **Growth rates** (6): BVPS, equity, earnings, revenue, OCF, FCF growth
|
| 85 |
- **Level/delta** (2): Forward ROE, margin expansion
|
| 86 |
-
- **Binary** (
|
| 87 |
|
| 88 |
### 2-Year Targets
|
| 89 |
- **Growth rates** (6): Same metrics as 1-year, over 2-year horizon
|
| 90 |
-
- **Binary** (
|
| 91 |
|
| 92 |
-
All targets are null when forward quarter data is unavailable.
|
| 93 |
|
| 94 |
### Rank-Transformed Targets (14 columns)
|
| 95 |
|
|
@@ -102,15 +102,16 @@ regression models. Rank-transforming yields IC ~0.37.
|
|
| 102 |
|
| 103 |
### Source Data
|
| 104 |
|
| 105 |
-
All data sourced
|
|
|
|
| 106 |
No market data providers. No third-party data. No equity pricing data.
|
| 107 |
|
| 108 |
### Pipeline
|
| 109 |
|
| 110 |
-
1. **Ingest**: Download quarterly SEC FSDS ZIP files from EDGAR
|
| 111 |
2. **Parse**: Extract XBRL financial data, normalize 32 tags to standard fields
|
| 112 |
-
3. **Enrich**: Compute derived ratios (8), scoring models (5), and QA flags
|
| 113 |
-
4. **Label**: Generate
|
| 114 |
5. **Split**: Temporal train/validation/test/recent splits with leakage validation
|
| 115 |
6. **Evaluate**: Quality checks, ML fitness, and publication readiness
|
| 116 |
7. **Publish**: Stage and upload to Hugging Face Hub
|
|
@@ -123,6 +124,7 @@ No market data providers. No third-party data. No equity pricing data.
|
|
| 123 |
- F-Score delta components require prior quarter data (null for first appearance)
|
| 124 |
- Z'-Score was designed for manufacturing firms; interpretation varies by sector
|
| 125 |
- No market data: cannot compute price-based metrics (P/E, market cap, etc.)
|
|
|
|
| 126 |
|
| 127 |
### Bias Considerations
|
| 128 |
|
|
|
|
| 37 |
|
| 38 |
## Supported Tasks
|
| 39 |
|
| 40 |
+
- **Tabular Classification**: Predict financial distress, bankruptcy, value creation, fundamental improvement
|
| 41 |
- **Tabular Regression**: Predict quality scores (f_score, z_prime_score, composite_quality_score), growth rates
|
| 42 |
- **Anomaly Detection**: Identify companies in financial distress or with QA anomalies
|
| 43 |
|
|
|
|
| 50 |
| train | 221,779 | 11,786 | 2008-12-31 to 2019-12-31 |
|
| 51 |
| validation | 45,109 | 7,207 | 2020-01-31 to 2021-12-31 |
|
| 52 |
| test | 47,334 | 7,208 | 2022-01-31 to 2023-12-31 |
|
| 53 |
+
| recent | 43,288 | 6,507 | 2024-01-31 to 2026-02-28 |
|
| 54 |
|
| 55 |
+
**Total records:** 357,510
|
| 56 |
|
| 57 |
### Feature Groups
|
| 58 |
|
|
|
|
| 78 |
|
| 79 |
## Target Columns
|
| 80 |
|
| 81 |
+
21 forward-looking prediction targets using same-quarter year-over-year comparisons:
|
| 82 |
|
| 83 |
### 1-Year Targets
|
| 84 |
- **Growth rates** (6): BVPS, equity, earnings, revenue, OCF, FCF growth
|
| 85 |
- **Level/delta** (2): Forward ROE, margin expansion
|
| 86 |
+
- **Binary** (5): ROA improved, fundamentals improved (≥3 of 5 metrics), value created (equity grew AND ROE>0), survived (filed Q+4 AND no bankruptcy in window), filed for bankruptcy (petition within 365 days)
|
| 87 |
|
| 88 |
### 2-Year Targets
|
| 89 |
- **Growth rates** (6): Same metrics as 1-year, over 2-year horizon
|
| 90 |
+
- **Binary** (2): Survived (filed Q+8 AND no bankruptcy in window), filed for bankruptcy (petition within 730 days)
|
| 91 |
|
| 92 |
+
Survived and bankruptcy targets are mutually exclusive by construction. All targets are null when forward quarter data is unavailable.
|
| 93 |
|
| 94 |
### Rank-Transformed Targets (14 columns)
|
| 95 |
|
|
|
|
| 102 |
|
| 103 |
### Source Data
|
| 104 |
|
| 105 |
+
All data sourced from SEC EDGAR: Financial Statement Data Sets (FSDS) for fundamentals
|
| 106 |
+
and Full-Text Search API (EFTS) for 8-K Item 1.03 bankruptcy filings.
|
| 107 |
No market data providers. No third-party data. No equity pricing data.
|
| 108 |
|
| 109 |
### Pipeline
|
| 110 |
|
| 111 |
+
1. **Ingest**: Download quarterly SEC FSDS ZIP files and bankruptcy events from EDGAR
|
| 112 |
2. **Parse**: Extract XBRL financial data, normalize 32 tags to standard fields
|
| 113 |
+
3. **Enrich**: Compute derived ratios (8), scoring models (5), bankruptcy flags, and QA flags
|
| 114 |
+
4. **Label**: Generate 21 forward-looking prediction targets (including bankruptcy)
|
| 115 |
5. **Split**: Temporal train/validation/test/recent splits with leakage validation
|
| 116 |
6. **Evaluate**: Quality checks, ML fitness, and publication readiness
|
| 117 |
7. **Publish**: Stage and upload to Hugging Face Hub
|
|
|
|
| 124 |
- F-Score delta components require prior quarter data (null for first appearance)
|
| 125 |
- Z'-Score was designed for manufacturing firms; interpretation varies by sector
|
| 126 |
- No market data: cannot compute price-based metrics (P/E, market cap, etc.)
|
| 127 |
+
- Bankruptcy chapter classification is not yet extracted (requires filing body parsing)
|
| 128 |
|
| 129 |
### Bias Considerations
|
| 130 |
|
recent.parquet
CHANGED
|
@@ -1,3 +1,3 @@
|
|
| 1 |
version https://git-lfs.github.com/spec/v1
|
| 2 |
-
oid sha256:
|
| 3 |
-
size
|
|
|
|
| 1 |
version https://git-lfs.github.com/spec/v1
|
| 2 |
+
oid sha256:05e26bd18845a640de26e00470105a5b82ad1d66e7e65cba7627132b709907a4
|
| 3 |
+
size 9536858
|
recent_clean.parquet
CHANGED
|
@@ -1,3 +1,3 @@
|
|
| 1 |
version https://git-lfs.github.com/spec/v1
|
| 2 |
-
oid sha256:
|
| 3 |
-
size
|
|
|
|
| 1 |
version https://git-lfs.github.com/spec/v1
|
| 2 |
+
oid sha256:2700fa17b672385691d9b85213207c015d078cc993e07a78611021576b9d3b1a
|
| 3 |
+
size 9326485
|
test.parquet
CHANGED
|
@@ -1,3 +1,3 @@
|
|
| 1 |
version https://git-lfs.github.com/spec/v1
|
| 2 |
-
oid sha256:
|
| 3 |
-
size
|
|
|
|
| 1 |
version https://git-lfs.github.com/spec/v1
|
| 2 |
+
oid sha256:28075b1eaf55da7e519ca4ef0b2a3302fb61fdf6d5e037bacb8d822f5b9326a1
|
| 3 |
+
size 13924824
|
test_clean.parquet
CHANGED
|
@@ -1,3 +1,3 @@
|
|
| 1 |
version https://git-lfs.github.com/spec/v1
|
| 2 |
-
oid sha256:
|
| 3 |
-
size
|
|
|
|
| 1 |
version https://git-lfs.github.com/spec/v1
|
| 2 |
+
oid sha256:a30697a8c07b470481e5c896386193ec42c825d12f62857136992281b483f8f9
|
| 3 |
+
size 13564119
|
train.parquet
CHANGED
|
@@ -1,3 +1,3 @@
|
|
| 1 |
version https://git-lfs.github.com/spec/v1
|
| 2 |
-
oid sha256:
|
| 3 |
-
size
|
|
|
|
| 1 |
version https://git-lfs.github.com/spec/v1
|
| 2 |
+
oid sha256:f0f59c325ae7c12186457b7c673708812b518639518b16d0f53092df7d6d647c
|
| 3 |
+
size 60743848
|
train_clean.parquet
CHANGED
|
@@ -1,3 +1,3 @@
|
|
| 1 |
version https://git-lfs.github.com/spec/v1
|
| 2 |
-
oid sha256:
|
| 3 |
-
size
|
|
|
|
| 1 |
version https://git-lfs.github.com/spec/v1
|
| 2 |
+
oid sha256:31fd029c213bf676b0edb338d766decc48a31501e3c57afb8bc3a8982fbe7820
|
| 3 |
+
size 59575124
|
validation.parquet
CHANGED
|
@@ -1,3 +1,3 @@
|
|
| 1 |
version https://git-lfs.github.com/spec/v1
|
| 2 |
-
oid sha256:
|
| 3 |
-
size
|
|
|
|
| 1 |
version https://git-lfs.github.com/spec/v1
|
| 2 |
+
oid sha256:e54bfbd359a22115507f41fe9c5b533b018b73083165209a8f5b801a28a68184
|
| 3 |
+
size 13330283
|
validation_clean.parquet
CHANGED
|
@@ -1,3 +1,3 @@
|
|
| 1 |
version https://git-lfs.github.com/spec/v1
|
| 2 |
-
oid sha256:
|
| 3 |
-
size
|
|
|
|
| 1 |
version https://git-lfs.github.com/spec/v1
|
| 2 |
+
oid sha256:4f625dfce98bf16d45065502f252d7bd07fa1f240c57673539da00c2072a0a4f
|
| 3 |
+
size 13031461
|