Paired portfolios.
01 - FORMATIONCustom Qlib, Qlib reference forecasts and momentum share one dated universe. Both Qlib models use four seeds; momentum is one deterministic ranking.
- Weekly formation dates
- 245
- Seeds per Qlib model
- 4
A point-in-time factor capturing how informed attention shifts across companies and sectors, for quantitative research and data analytics.
ECPND factor mean uplift with volatility filter
Participation and recurring connections may reveal informed attention. We translate these dynamics into a systematic factor for equity research.
Three US equity rankings, each tested with and without ECPND under the same weekly portfolio rules, dates and costs.
Custom Qlib, Qlib reference forecasts and momentum share one dated universe. Both Qlib models use four seeds; momentum is one deterministic ranking.
Allocate 95% of capital equally across 50 stocks; fees reduce the remaining cash. Compare buy & hold, weekly rebalanced cohorts and continuously funded accounts.
A separate accounting implementation reproduces 60 sampled portfolio paths. Frozen input checks support internal reproducibility, not an external audit.
Weekly portfolios, with and without ECPND, in the most volatile fifth of stocks. Three baselines, identical execution rules and costs.
Mean return difference in bp · 95% block-bootstrap intervals · ECPND overlay · most volatile fifth · prior 63 sessions · three-baseline average
Our 2022-2026 study covers 245 weekly formations. Both baseline and factor portfolios use the most volatile fifth of stocks, measured over 63 prior sessions, with identical execution and 10 bp costs. The chart averages ECPND’s added contribution across Custom Qlib, the Qlib reference model and momentum, giving each equal weight after averaging four seeds per Qlib model. Only completed holding periods enter the averages; uncertainty is assessed by resampling shared weekly blocks across all three baselines. ECPND contributes more in the most volatile fifth than in the least volatile fifth across all 18 comparisons. 4 high-minus-low contrasts survive Holm correction across 18 tests, all at twelve months. These exploratory findings make volatility a promising direction for further research.
Evaluate the factor with the research package, then access the ECPND score directly via API and integrate it into your workflows and models.
2 years of daily scores
$1,850 USD / month
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Understand factor coverage, historical data and update timing, with practical guidance on API access, independent evaluation and subscriptions.
Each subscription provides authenticated API access to your selected factor across its covered US equity universe. You receive scores with publication timestamps and version identifiers, historical downloads, API documentation and integration support. Current scores are available as JSON or CSV. See the integration examples.
The service checks for changes hourly and publishes an updated score set when relevant inputs change, including new or corrected calls and newly eligible history. Otherwise, the existing set remains available. Each response identifies when the data were checked and when the scores were published. See timing and data status.
Subscribers can download a five-year historical score release for their licensed factor as compressed CSV. The free research package contains two years of daily scores for both factors, ending six months before the package release date. Each download states its exact dates and coverage; historical releases are separate from ongoing API updates. See historical data delivery.
No eligible value is available for that stock and date under the factor's coverage, history or freshness rules. Missing values appear as null in JSON and blank fields in CSV; zero is a valid score. A day without a new company call does not automatically mean a missing score. See the score definitions.
Yes. The free research package includes two years of historical scores for ECPND and ECQDI, three worked selection examples and a README that explains each step, including the volatility filter. No account or payment is required. Use the supplied data to test the factors in your own models; the whitepapers explain the study design, results, application rules and limitations.
The standard licence covers one legal entity with up to USD 250 million AUM. Internal use, copies and storage are permitted; data, scores and API access cannot be shared with another company, including an affiliate. Derived datasets, scores, models, reports and analytics may be used internally but may not be supplied as products or services to third parties, even if the original scores cannot be reconstructed. Each additional legal entity needs its own licence. If your AUM exceeds the limit, notify us promptly and within three calendar months at the latest, and agree an individual licence. We may request proportionate supporting evidence up to twice per rolling twelve months. See the data licence and AUM definition.
Your agreed early access price and licence scope continue while the same subscription remains uninterrupted and within its licence limits, even after the factor enters regular sale. New early access admissions are limited by the licence allocation and USD 1 billion of aggregate Licence AUM, whichever is reached first. This admission limit does not remove existing subscribers' agreed terms. New products or an AUM upgrade require a separate agreement. The service may be discontinued; unused prepaid access is then addressed under the Terms. See early access continuity.
The monthly price is billed every three months, plus applicable taxes. Subscriptions renew quarterly unless cancelled before renewal. You can cancel through your account and retain access until the end of the paid period. Cancellation stops future renewals; refunds are handled separately under the Refund Policy. See the billing terms.