Insights
In-depth research and data-driven insights on quantitative finance, factor investing, risk, and ESG from the TEJ research team.
Trending
Editor's picks from our research desk.
Fundamental Factor Research: Monthly Revenue Information – part1
The Taiwan equity market possesses a rare institutional advantage globally: under the Securities and Exchange Act, listed companies are required to announce and report their operational results for the preceding month by the 10th of each month (Exception: starting from FY2026, insurance companies and entities with insurance subsidiaries may extend their disclosure deadline to the 15th of each month). This is commonly referred to in the market as "Monthly Revenue".
Factor Research – Tracking Smart Money Footprints via Foreign Institutional Concentration – QFII Part 1
Track QFII ‘smart money’ footprints in Taiwan large-cap stocks! Learn how the Foreign-Institutional Trading Concentration (conc_qfii) factor predicts returns.
Empirical Research on Behavioral Factors in the Taiwan Stock Market: A Case Study of the Share Distribution
In an AI-driven Taiwan stock market, mastering chip distribution (ownership structure) is the key to profitability. This study delves into the Share Distribution data from the TDCC, transforming 15 tiers of shareholding data into behavioral finance factors such as investor attention, opinion dispersion, and retail speculation. By utilizing Fama–MacBeth two-stage regression and the alphalens-tej quantitative tool, we precisely validate the predictive power of psychological biases on stock returns, providing investors with actionable Alpha strategies and robust risk management solutions.
Insights
Browse all articles by topic.
Quant Research
Brinson Model Performance attribution
Analyze the source of portfolio performance Highlights Preface Portfolio’s performance is affected by many factors. It is not easy for us to clearly distinguish whether the performance is due to the rise in the market, the stock selection ability of traders, or the proper allocation of assets or industries? Therefore, we can use the performance […]
Quant Data Science
RSI Indicator
Use common technical indicators to backtesting Highlights Preface Relative strength index (RSI) is the momentum technical indicator. It is usually used as an oscillator interval to evaluate overbought or oversold condition by measuring recent trend of price movements. Following is the way to calculate this indicator: Criterion of RSI: RSI’s Deactivation: Gain and loss is […]
Market Knowledge & Data Guides
Measure the company’s earnings management
Analyze the relationship between the company’s earnings management and the earnings-price ratio group Preface Investors care about earnings which is one of the key indicators. future earnings trends will affect investors’ willingness to hold stocks. If investors expect an increase in the company’s earnings, they will improve their willingness to hold stocks. Earnings can be […]
Quant Research
Stock Selection by Random Forest Algorithm
Backtesting and stock-picking strategy with machine learning Highlights Preface To put it simply, random forest is one of algorithms made up of many decision trees with the adoption of bagging and random sampling. Since it’s based on CART algorithm, it can handle both classification and continuous data. Other advantages such as its comparability with high […]
Quant Research
Two-Factor weights portfolio setting
Does the weights setting affects the performance of the two-factor portfolio? Preface The common weights settings are equal-weighted and capitalization-weighted. The former treats all factors as the same, assigns equal weights to different factors, and synthesizes new factor values; the latter weights individual factors with capitalization-weighted to synthesize new factor values at first, assign different […]
Quant Data Science
Django and TEJ API (Part 1)
Use Python Django to create a website Highlights Preface Django is a Python-based application framework of web. Since it has advantages such as fixed framework and abundant libraries, users can develop a website in a more straightforward and efficient way. In this series, we’ll cover the topics including the setting of Django, framework introduction, connection […]
Quant Data Science
Build Your Own Company Dashboard
Use radar chart to present company’s performance Highlights Preface Dashboard is a simple page that coveys valuable information with proper visualization and informative chart. The users can quickly identify a certain trend or make some inferences. Therefore, a well-designed dashboard not only requires simple and clean user interface, but also has to reveal the most […]
Market Knowledge & Data Guides
Use TEJ Point-in-Time data to explore the connotation of monthly revenue information
Ａccording to the Security and Exchange Act, within the first ten days of each calendar month publicly announce and register with the Competent Authority the operating status for the month. In addition to the real-time information of monthly revenue compared with financial reports, it can also assist investors in tracking company fundamentals during the window period of yearly financial reports. Therefore, monthly revenue information has become one of the most important reference indicators for investors to grasp changes in the company’s fundamentals.
Quant Data Science
KD Indicator
KD indicator is one of the commonly-used indicators in technical analysis. It’s mainly used for judging the current strength of stock price or possible timing of reversing. Following is the way to calculate this indicator
Quant Research
XGBoost Algorithm Predicts Returns (Part 2)
Use algorithm to learn the investment factors and predict returns. Highlights Preface We talked about how to create new enviornment and install XGBoost last time. If you haven’t read it yet, please click this link. In this article we will make some preprocessing on data. Then train the model to predict the stock returns and try […]
Quant Research
Stocks Selection by ESG Factors
Observe the relation between employee turnover rate and stocks return Highlights Preface In recent years, there’s an investment called ESG investing, meaning when investing, the firm’s financial performance is not the only thing to be considered. Instead, its influence over environment and society and its corporate governance should be stressed as well. There are no […]
Quant Data Science
XGBoost Algorithm Predicts Returns (Part 1)
Use algorithm to learn the investment factors and predict returns. Highlights Preface Recently, a lot of algorithms have emerged, and various mathematical models have been developed to solve problems. The classic model is “regression”. With the advancement of technology, algorithms now been developed which can improve and learn by themselves (Machine Learning). Nowaday has developed […]