The Book of Alternative Data: A Guide for Investors Traders and Risk Managers

Table of Contents
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
	SOME LAST WORDS
References
About the Authors
Index
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