In this project, i performed NLP Analysis on 10-k financial statements to generate an alpha factor. For the dataset, I used the end of day from Quotemedia and Loughran-McDonald sentiment word lists.
A 10-K is a comprehensive report filed annually by a publicly-traded company about its financial performance and is required by the U.S. Securities and Exchange Commission (SEC). The report contains much more detail than a company's annual report, which is sent to its shareholders before an annual meeting to elect company directors.
Some of the information a company is required to document in the 10-K includes its history, organizational structure, financial statements, earnings per share, subsidiaries, executive compensation, and any other relevant data.
- alphalens==0.3.2
- nltk==3.3.0
- numpy==1.13.3
- ratelimit==2.2.0
- requests==2.18.4
- scikit-learn==0.19.1
- six==1.11.0
- tqdm==4.19.5