Hi guys,
I'm pretty new to Quantopian, but I've been browsing the forums for a few weeks and didn't see anything on this: I'm interested in using machine learning to analyze the days/weeks leading up to earnings as a way to possibly predict earnings surprise. Does anybody have any tips or threads that could point me in the right direction? Thanks!
Hi An,
Maybe look at FactSet Estimates Consensus along with Actuals to build your earnings surprise features? Possibly along with earnings calendar from Evenvestor and price/volume data prior to the earnings announcements? Not really sure how long Eventvestor data will be available though. I believe they are replacing the paid-for datasets with FactSet (free but with holdouts).
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