Earnings call participation network & dynamics (ECPND)

A point-in-time factor capturing how informed attention shifts across companies and sectors, for quantitative research and data analytics.

US EQUITIES5-year backtest

ECPND factor mean uplift with volatility filter

3 MONTHS+37 bp232 mature formations
6 MONTHS+80 bp219 mature formations
12 MONTHS+172 bp193 mature formations
BUY & HOLD · THREE BASELINES · 10 BP COSTS · JAN 2022-SEP 2026

Interaction structure holds meaning.

Participation and recurring connections may reveal informed attention. We translate these dynamics into a systematic factor for equity research.

Designed for a fair comparison.

Three US equity rankings, each tested with and without ECPND under the same weekly portfolio rules, dates and costs.

Paired portfolios.

01 - FORMATION

Custom 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

Shared assumptions.

02 - EXECUTION

Allocate 95% of capital equally across 50 stocks; fees reduce the remaining cash. Compare buy & hold, weekly rebalanced cohorts and continuously funded accounts.

Stocks per portfolio
50
Costs per trade
10 bp

Traceable records.

03 - VERIFICATION

A separate accounting implementation reproduces 60 sampled portfolio paths. Frozen input checks support internal reproducibility, not an external audit.

Portfolio paths replayed
60
Source call records
78,941

Evidence across three baselines.

Weekly portfolios, with and without ECPND, in the most volatile fifth of stocks. Three baselines, identical execution rules and costs.

Volatility-filtered equal-weight average of three baseline return differencesMost volatile fifth, measured over the prior 63 sessions; both portfolio arms use the same filtered pool. Buy & hold and Weekly rebalance at three, six and twelve months with the retrospective 20 percent ECPND priority rule. Filled dots show buy and hold; open dots show weekly rebalance. Dots show the mean incremental return; horizontal lines show 95 percent block-bootstrap intervals. Intervals are per setting and are not adjusted for threshold or volatility-filter selection.-1000+100+200+300+4003MBuy & hold, 3 months: +37 bp; 95% block-bootstrap interval +1.3 to +76.4 bp+37 bpWeekly rebalance, 3 months: +60 bp; 95% block-bootstrap interval +28.0 to +94.1 bp+60 bp6MBuy & hold, 6 months: +80 bp; 95% block-bootstrap interval +8.9 to +153.5 bp+80 bpWeekly rebalance, 6 months: +130 bp; 95% block-bootstrap interval +78.2 to +181.9 bp+130 bp12MBuy & hold, 12 months: +172 bp; 95% block-bootstrap interval +39.1 to +318.8 bp+172 bpWeekly rebalance, 12 months: +280 bp; 95% block-bootstrap interval +207.3 to +365.6 bp+280 bpVolatility-filtered equal-weight average of three baseline return differencesMost volatile fifth, measured over the prior 63 sessions; both portfolio arms use the same filtered pool. Buy & hold and Weekly rebalance at three, six and twelve months with the retrospective 20 percent ECPND priority rule. Filled dots show buy and hold; open dots show weekly rebalance. Dots show the mean incremental return; horizontal lines show 95 percent block-bootstrap intervals. Intervals are per setting and are not adjusted for threshold or volatility-filter selection.-1000+100+200+300+4003MBuy & hold, 3 months: +37 bp; 95% block-bootstrap interval +1.3 to +76.4 bp+37 bpWeekly rebalance, 3 months: +60 bp; 95% block-bootstrap interval +28.0 to +94.1 bp+60 bp6MBuy & hold, 6 months: +80 bp; 95% block-bootstrap interval +8.9 to +153.5 bp+80 bpWeekly rebalance, 6 months: +130 bp; 95% block-bootstrap interval +78.2 to +181.9 bp+130 bp12MBuy & hold, 12 months: +172 bp; 95% block-bootstrap interval +39.1 to +318.8 bp+172 bpWeekly rebalance, 12 months: +280 bp; 95% block-bootstrap interval +207.3 to +365.6 bp+280 bp

Mean return difference in bp · 95% block-bootstrap intervals · ECPND overlay · most volatile fifth · prior 63 sessions · three-baseline average

Buy & holdWeekly rebalance

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.

Transparent research and pricing.

Evaluate the factor with the research package, then access the ECPND score directly via API and integrate it into your workflows and models.

Get research package

Free

2 years of daily scores

Delivery
Public ZIP download
Historical data
Two years of daily scores · six-month delay
Score records
Date, ticker, ECPND & ECQDI score
Research
Links to the three research papers
Application
README & three worked selection examples
Additional
Volatility filter explained step by step

Early access - ECPND

Billed quarterly

$1,850 USD / month

Delivery
Authenticated API access
Updates
Hourly checks · updates on change
New calls
Low-latency processing after transcript arrival
Score records
Timestamps & version identifiers
Integration
API documentation & integration support
Historical data
Full download of 5 years of historical scores

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Data & access FAQ

Understand factor coverage, historical data and update timing, with practical guidance on API access, independent evaluation and subscriptions.

What data is included in a subscription?

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.

How often are scores updated?

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.

What historical data is available?

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.

What does a missing score mean?

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.

Can I evaluate the data before subscribing?

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.

Are ECPND and ECQDI licensed separately?

Yes. Each factor requires its own active subscription. Both use the same API, and your account's API keys grant access to the factors you subscribe to. ECQDI material in the free research package is for evaluation and does not activate a paid subscription. Read the ECPND and ECQDI whitepapers.

Who may use the data, and what is the AUM limit?

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.

Will my early access terms change after the regular launch?

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.

How do quarterly billing and cancellation work?

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.