{"id":11076,"date":"2022-06-15T17:00:00","date_gmt":"2022-06-15T09:00:00","guid":{"rendered":"https:\/\/www.tejwin.com\/?post_type=news&#038;p=11076"},"modified":"2025-10-16T15:13:28","modified_gmt":"2025-10-16T07:13:28","slug":"quantitative-investment","status":"publish","type":"news","link":"https:\/\/www.tejwin.com\/en\/news\/quantitative-investment\/","title":{"rendered":"TEJ Quantitative Investment Database"},"content":{"rendered":"\n<figure class=\"wp-block-image size-full is-resized\"><img fetchpriority=\"high\" decoding=\"async\" width=\"2028\" height=\"1352\" src=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/QUANT3.png\" alt=\"TEJ Quantitative Investment Database\" class=\"wp-image-24659\" style=\"width:675px;height:419px\" srcset=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/QUANT3.png 2028w, https:\/\/www.tejwin.com\/wp-content\/uploads\/QUANT3-300x200.png 300w, https:\/\/www.tejwin.com\/wp-content\/uploads\/QUANT3-1024x683.png 1024w, https:\/\/www.tejwin.com\/wp-content\/uploads\/QUANT3-150x100.png 150w, https:\/\/www.tejwin.com\/wp-content\/uploads\/QUANT3-768x512.png 768w, https:\/\/www.tejwin.com\/wp-content\/uploads\/QUANT3-1536x1024.png 1536w\" sizes=\"(max-width: 2028px) 100vw, 2028px\" \/><\/figure>\n\n\n\n<p><\/p>\n\n\n\n<div id=\"ez-toc-container\" class=\"ez-toc-v2_0_81 counter-hierarchy ez-toc-counter ez-toc-grey ez-toc-container-direction\">\n<p class=\"ez-toc-title\" style=\"cursor:inherit\">Table of Contents<\/p>\n<label for=\"ez-toc-cssicon-toggle-item-69f3c0488315b\" class=\"ez-toc-cssicon-toggle-label\"><span class=\"ez-toc-cssicon\"><span class=\"eztoc-hide\" style=\"display:none;\">Toggle<\/span><span class=\"ez-toc-icon-toggle-span\"><svg style=\"fill: #999;color:#999\" xmlns=\"http:\/\/www.w3.org\/2000\/svg\" class=\"list-377408\" width=\"20px\" height=\"20px\" viewBox=\"0 0 24 24\" fill=\"none\"><path d=\"M6 6H4v2h2V6zm14 0H8v2h12V6zM4 11h2v2H4v-2zm16 0H8v2h12v-2zM4 16h2v2H4v-2zm16 0H8v2h12v-2z\" fill=\"currentColor\"><\/path><\/svg><svg style=\"fill: #999;color:#999\" class=\"arrow-unsorted-368013\" xmlns=\"http:\/\/www.w3.org\/2000\/svg\" width=\"10px\" height=\"10px\" viewBox=\"0 0 24 24\" version=\"1.2\" baseProfile=\"tiny\"><path d=\"M18.2 9.3l-6.2-6.3-6.2 6.3c-.2.2-.3.4-.3.7s.1.5.3.7c.2.2.4.3.7.3h11c.3 0 .5-.1.7-.3.2-.2.3-.5.3-.7s-.1-.5-.3-.7zM5.8 14.7l6.2 6.3 6.2-6.3c.2-.2.3-.5.3-.7s-.1-.5-.3-.7c-.2-.2-.4-.3-.7-.3h-11c-.3 0-.5.1-.7.3-.2.2-.3.5-.3.7s.1.5.3.7z\"\/><\/svg><\/span><\/span><\/label><input type=\"checkbox\"  id=\"ez-toc-cssicon-toggle-item-69f3c0488315b\"  aria-label=\"Toggle\" \/><nav><ul class='ez-toc-list ez-toc-list-level-1 ' ><li class='ez-toc-page-1 ez-toc-heading-level-2'><a class=\"ez-toc-link ez-toc-heading-1\" href=\"https:\/\/www.tejwin.com\/en\/news\/quantitative-investment\/#Preface\" >Preface<\/a><\/li><li class='ez-toc-page-1 ez-toc-heading-level-2'><a class=\"ez-toc-link ez-toc-heading-2\" href=\"https:\/\/www.tejwin.com\/en\/news\/quantitative-investment\/#TEJ_Quantitative_Investment_Database\" >TEJ Quantitative Investment Database<\/a><\/li><li class='ez-toc-page-1 ez-toc-heading-level-2'><a class=\"ez-toc-link ez-toc-heading-3\" href=\"https:\/\/www.tejwin.com\/en\/news\/quantitative-investment\/#4_Features_of_Using_Point-in-Time_data\" >4 Features of Using Point-in-Time data<\/a><\/li><li class='ez-toc-page-1 ez-toc-heading-level-2'><a class=\"ez-toc-link ez-toc-heading-4\" href=\"https:\/\/www.tejwin.com\/en\/news\/quantitative-investment\/#Conclusion\" >Conclusion<\/a><\/li><\/ul><\/nav><\/div>\n<h2 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"Preface\"><\/span>Preface<span class=\"ez-toc-section-end\"><\/span><\/h2>\n\n\n\n<p>Since Markowitz proposed the Portfolio Theory, Sharpe revised the Capital Asset Pricing Model (CAPM), and Ross further developed the Arbitrage Pricing Theory (APT), scholars have gradually discovered that the characteristics of stock have a certain explanatory power to its expected rate of return, which has become a cornerstone for <strong>quantitative investment analysis<\/strong>. With the progress of computers and algorithms, the application of machine learning (ML) and artificial intelligence (AI) to data mining has also achieved good results, making quantitative investment analysis an important technique of the investment society. At the same time, the demand for data in the investment market has also increased simultaneously. When researchers conduct quantitative investment analysis, they often need a large amount of data to support it.<\/p>\n\n\n\n<p><strong>Taiwan stock market<\/strong> produces a lot of transaction information every day, such as price volume, credit and loan transactions, etc., and the announcement of companies, such as revenue, earnings, dividend policies, etc., are also regarded as important information. It is quite difficult to catch up with this information on a daily basis. Moreover, <strong>the quality of the data<\/strong> is also an issue. Although many websites in the market provide free data, and researchers can crawl the data through web crawlers, these free data are generally incomplete and wrong. Cleaning and maintaining this data every day may incur a high cost. Therefore, in order to solve the above problems and meet the needs of quantitative investment analysts, <span style=\"text-decoration: underline;\" class=\"ek-underline\">a database with complete data and high quality<\/span> is necessary and that databank is<strong> <mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-vivid-cyan-blue-color\">TEJ Quantitative Investment Database<\/mark><\/strong>.<\/p>\n\n\n\n<p><strong>TEJ Quantitative investment database<\/strong> has collected a large amount of Taiwan stock information, and researchers regularly clean and review it to maintain the quality of the information. The database content covers three different categories of databases, namely <mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-vivid-cyan-blue-color\"><strong>market data, financial accounting data, and corporate action event data<\/strong>.<\/mark> The database of market data includes stock price, volume, and chip data, the database of financial accounting data includes the company&#8217;s revenue and earnings data, and the corporate action event data includes the data of major decisions of the company&#8217;s management. <span style=\"text-decoration: underline;\" class=\"ek-underline\">The overall database not only has high coverage of Taiwan stock market information but also is point-in-time, which is necessary for quantitative analysis<\/span>.<\/p>\n\n\n\n<p class=\"has-background has-medium-font-size\" style=\"background-color:#ffe9ae\"><em>\ud83d\udccc<\/em> <strong><em><a href=\"https:\/\/www.tejwin.com\/en\/insight\/tej-point-in-time-audited-financial-database\/\" data-type=\"link\" data-id=\"https:\/\/www.tejwin.com\/en\/insight\/tej-point-in-time-audited-financial-database\/\">TEJ Point-in-Time Audited Financial Database\u00a0 \u2013 Rejecting \u201cPeek-ahead\u201d Backtesting<\/a><\/em><\/strong><\/p>\n\n\n\n<h2 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"TEJ_Quantitative_Investment_Database\"><\/span>TEJ Quantitative Investment Database<span class=\"ez-toc-section-end\"><\/span><\/h2>\n\n\n\n<p>The main structure of the TEJ investment database consists of three categories of databases:<mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-vivid-green-cyan-color\"> <\/mark><mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-vivid-cyan-blue-color\"><strong>market data, financial accounting data, and corporate action events<\/strong><\/mark>. The respective databases contain different types of data, which will be explained below:<\/p>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>Market Data<\/strong><\/h3>\n\n\n\n<p>It covers <span style=\"text-decoration: underline;\" class=\"ek-underline\">stock price and volume, credit and lending transactions, and transactions of institutional investors<\/span>. In addition, there are attribute data, which can be used to judge the current listing status of the stock and the industry it belongs to. It can also be used to <strong>confirm whether the stock has been listed as alerting stocks, suspended from trading, or listed as a full-cash delivery stock on that day.<\/strong> In addition, it also includes information on stocks that have been listed on the market in the past, daily different index constituent stocks, and ETF constituent stocks. Using this data for quantitative analysis can avoid survivorship bias.<\/p>\n\n\n\n<p class=\"has-background has-medium-font-size\" style=\"background-color:#ffe9ae\">\ud83d\udca1<strong><em>Get More Detail\uff0d<a href=\"https:\/\/www.tejwin.com\/en\/solution\/market-data\/\">TEJ Market Data Service<\/a><\/em><\/strong><\/p>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>Financial Accounting Data<\/strong><\/h3>\n\n\n\n<p>It includes <span style=\"text-decoration: underline;\" class=\"ek-underline\">monthly revenue, financial statements audited by accountants, and company forward-looking statements<\/span>&nbsp;that have not been audited. The early announcement of monthly revenue and the forward-looking statements could be beneficial to investors in adjusting their investment decisions. In addition, the financial reports reviewed by accountants and the company&#8217;s forward-looking statements contain three types of data, which are single-quarter, cumulative, and moving data for four seasons, which allows analysts to access according to their own needs and eliminates the need for tedious data sorting.<\/p>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>Corporate Action Events<\/strong><\/h3>\n\n\n\n<p>This category includes personnel changes of management, insider shareholding declaration and transfer, M&amp;As, capital budgeting (including the capital increase or decrease, private placement, etc.), changes in fixed assets, dividend and treasury stock policies, and important company news. Each type of event includes its announcement date and relevant important information, which is very suitable for research on the effect of event announcement, or further study with other information. In addition, <span style=\"text-decoration: underline;\" class=\"ek-underline\">the most important feature throughout the overall database is point-in-time<\/span>.<\/p>\n\n\n\n<div style=\"height:18px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<div style=\"border: 1px black; border-style: solid none; text-align: center; border-color: #296580; padding: 24px; margin-top: 24px; margin-bottom: 24px;\">\n<p style=\"margin: 0px; font-size: 24px; font-weight: bold; line-height: 1.5;\">Start Your Journey Toward Successful Quantitative Anaylsis!<\/p>\n<div style=\"margin-top: 32px;\"><strong><a style=\"border: none; border-radius: 4px; background-color: #296580; color: white; font-size: 20px; width: fit-content; text-decoration: none; padding: 12px 30px 12px 30px;\" href=\"https:\/\/www.tejwin.com\/en\/databank-solution\/market-data\/\">TEJ Quantitative Financial Solutions<\/a><\/strong><\/div>\n<\/div>\n\n\n\n<h2 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"4_Features_of_Using_Point-in-Time_data\"><\/span>4 Features of Using Point-in-Time data<span class=\"ez-toc-section-end\"><\/span><\/h2>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>Survivorship Bias<\/strong><\/h3>\n\n\n\n<p>If the stock price of a listed company is excluded from the historical database due to factors such as bankruptcy, delisting, mergers, and acquisitions, or the expiration of futures contracts, we generally use the current company pool to capture historical data, and there will be survivorship bias. <mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-vivid-cyan-blue-color\">TEJ provides a complete listing and delisting information, allowing users to avoid survivorship bias when investing<\/mark>.<\/p>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>Availability Bias<\/strong><\/h3>\n\n\n\n<p>Availability bias refers to the use of future data, rather than data that can be collected at the time, during the experiment, which will lead to deviations in the experimental results. For example, if the financial statements are restated or revised in the same period last year, they are future data. If this data is used as a stock selection condition, the strategy will not be able to accurately reflect the real trading situation.<br><mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-vivid-cyan-blue-color\">TEJ exclusively provides users with financial report data before re-editing <\/mark>and makes it into a financial database for investment to improve the accuracy of strategy. Furthermore, the date of announcement is also included. As mentioned above, the price of the news on the announcement day is the most authentic. Therefore, the announcement day is necessary information for quantitative strategies.<\/p>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>Look Ahead Bias<\/strong><\/h3>\n\n\n\n<p>If you do not pay attention to the time point of the financial report announcement, the end date of the financial report is mistakenly used as the start point. For example, the end date of the annual financial statement is December 31 of the current year, and the financial report information is not announced until the end of March of the following year. If the date of December 31 of the current year is misused, it is look-ahead bias. In addition to providing the date of the financial report, the <mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-vivid-cyan-blue-color\">TEJ database also provides the date of the financial report announcement<\/mark>. The announcement date is used to understand the stock price reaction to avoid strategic misjudgment.<\/p>\n\n\n\n<figure class=\"wp-block-image size-large caption-align-center\"><img decoding=\"async\" width=\"1024\" height=\"321\" src=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/\/announcement-schedules-1024x321.png\" alt=\"\" class=\"wp-image-24664\" srcset=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/announcement-schedules-1024x321.png 1024w, https:\/\/www.tejwin.com\/wp-content\/uploads\/announcement-schedules-300x94.png 300w, https:\/\/www.tejwin.com\/wp-content\/uploads\/announcement-schedules-150x47.png 150w, https:\/\/www.tejwin.com\/wp-content\/uploads\/announcement-schedules-768x240.png 768w, https:\/\/www.tejwin.com\/wp-content\/uploads\/announcement-schedules.png 1498w\" sizes=\"(max-width: 1024px) 100vw, 1024px\" \/><figcaption class=\"wp-element-caption\">Figure 1. Point-in-Time Financial Data avoid Look-ahead bias<\/figcaption><\/figure>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>Historical Stock Price Adjustment<\/strong><\/h3>\n\n\n\n<p>When conducting stock analysis, whether the price information has passed the time point when the company distributes dividends and increases or decreases capital will also greatly affect the return. And to avoid the unusual fluctuation of the price on the ex-dividend day, and to compare the current price with the past price on the same benchmark, we must <mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-vivid-cyan-blue-color\">use the TEJ-adjusted stock price as the back testing data<\/mark>.<\/p>\n\n\n\n<p>With the four key features of the above, and TEJ Database allows researchers to directly access the cleaned information, which greatly saves data the time of processing data.<\/p>\n\n\n\n<figure class=\"wp-block-image caption-align-center\"><img decoding=\"async\" src=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/13.png\" alt=\"Application of TEJ Investment Database in Quantitative Investment\"\/><figcaption class=\"wp-element-caption\">Figure 2. Point-in-Time Data Features<\/figcaption><\/figure>\n\n\n\n<p class=\"has-background has-medium-font-size\" style=\"background-color:#ffe9ae\"><em><strong>\ud83d\udccc\u00a0You may intetesting\uff1a<a href=\"https:\/\/www.tejwin.com\/en\/news\/factor-library\/\">\u00a0TEJ Factor Library\uff0d100+ factors built for Taiwan market<\/a><\/strong><\/em><\/p>\n\n\n\n<h2 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"Conclusion\"><\/span><strong>Conclusion<\/strong><span class=\"ez-toc-section-end\"><\/span><\/h2>\n\n\n\n<p>There is a Chinese saying, that goes, \u201cif you want to do good work, you must first sharpen your tools.\u201d When researchers conduct quantitative investment analysis, they need a lot of data support. They must <mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-vivid-cyan-blue-color\">use point-in-time data to solve the major differences between quantitative data and general data to improve accuracy of their investment strategies.<\/mark><\/p>\n\n\n\n<p>TEJ provides Quantitative Financial Solutions to optimize your quantitative analysis results. We collected comprehensive databases, which include market data, financial accounting data, and corporate action event data. Furthermore, our researchers clean and maintain databases regularly to ensure the quality of the information.<\/p>\n\n\n\n<div style=\"height:19px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<div class=\"wp-block-columns are-vertically-aligned-center has-large-font-size is-layout-flex wp-container-core-columns-is-layout-28f84493 wp-block-columns-is-layout-flex\">\n<div class=\"wp-block-column is-vertically-aligned-center has-background has-small-font-size ek-linked-block is-layout-flow wp-block-column-is-layout-flow\" style=\"background:linear-gradient(135deg,rgb(227,192,52) 0%,rgb(106,214,178) 50%,rgb(23,141,195) 99%)\">\n<div style=\"height:22px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<p class=\"has-text-align-center has-white-color has-text-color has-link-color wp-elements-705d272a8dc9196058e778172ef1119d\" style=\"font-size:23px\"><strong>Boost Your Data Anaylsis Efficiency, Minimize Your Workload.<br>Start Your Journey toward Successful Quantitative Anaylsis!<\/strong><\/p>\n\n\n\n<div class=\"wp-block-buttons is-content-justification-center is-layout-flex wp-container-core-buttons-is-layout-a89b3969 wp-block-buttons-is-layout-flex\">\n<div class=\"wp-block-button is-style-fill\"><a class=\"wp-block-button__link has-background has-medium-font-size has-custom-font-size wp-element-button\" style=\"border-radius:100px;background:linear-gradient(135deg,rgb(60,110,172) 0%,rgb(60,110,172) 100%)\"><strong>TEJ Quantitative Financial Solutions<\/strong><\/a><\/div>\n<\/div>\n\n\n\n<div style=\"height:22px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n<a href=\"https:\/\/www.tejwin.com\/en\/solution\/quantitative-finance-solution\/\" class=\"editorskit-block-link\" rel=\"\"><\/a><\/div>\n<\/div>\n\n\n\n<p class=\"has-text-align-left\">\u2709\ufe0f E-mail\uff1a <a href=\"mailto:%20tej@tej.com.tw\" target=\"_blank\" rel=\"noreferrer noopener\" class=\"ek-link\"><\/a><em><a href=\"mailto:tejservice@tej.com.tw\" class=\"ek-link\">tejservice<\/a><\/em><a href=\"mailto:tejservice@tej.com.tw\" class=\"ek-link\"><em>@tej.com.tw<\/em><\/a> | \u260e\ufe0f Phone\uff1a<em> <\/em>+886-2\u201387681088<\/p>\n","protected":false},"excerpt":{"rendered":"<p>TEJ Quantitative investment database covers three different categories of databases, namely market data, financial accounting data, and corporate action event data. The overall database not only has high coverage of Taiwan stock market information but also is point-in-time, which is necessary for quantitative analysis.<\/p>\n","protected":false},"featured_media":11077,"parent":0,"menu_order":0,"template":"","tags":[3033,3038,2962,2987],"news-category":[688],"class_list":["post-11076","news","type-news","status-publish","has-post-thumbnail","hentry","tag-company-financial-statements-data","tag-event-driven-data","tag-market-data","tag-quant","news-category-product-news"],"acf":[],"_links":{"self":[{"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/news\/11076","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/news"}],"about":[{"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/types\/news"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/media\/11077"}],"wp:attachment":[{"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/media?parent=11076"}],"wp:term":[{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/tags?post=11076"},{"taxonomy":"news-category","embeddable":true,"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/news-category?post=11076"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}