Datasets:

paperswithbacktest
/

Stocks-Monthly-Bankruptcy

language:
  - en
license: other
task_categories:
  - tabular-regression
features:
  - name: symbol
    dtype: string
  - name: datetime
    dtype: string
  - name: probability_light
    dtype: float64
  - name: probability_convolution
    dtype: float64
  - name: probability_rocket
    dtype: float64
  - name: probability_encoder
    dtype: float64
  - name: probability_fundamental
    dtype: float64
  - name: probability
    dtype: float64
  - name: sans_market
    dtype: float64
  - name: volatility
    dtype: float64
  - name: multiplier
    dtype: float64
  - name: version
    dtype: int64
extra_gated_prompt: >-
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Dataset Information

Monthly bankruptcy probability estimates for US-listed equities. Scores are sourced from SOV.AI's ensemble models and refreshed each month.

Instruments Included

4,700+ US Stocks

Dataset Columns

symbol: Stock ticker symbol for each company.
datetime: Month-end date of the bankruptcy prediction snapshot (YYYY-MM-DD).
probability_light: Bankruptcy probability predicted by the LightGBM model.
probability_convolution: Bankruptcy probability predicted by the convolutional model.
probability_rocket: Bankruptcy probability predicted by the ROCKET time-series model.
probability_encoder: Bankruptcy probability predicted by the encoder-only transformer model.
probability_fundamental: Bankruptcy probability predicted by the fundamentals-driven model.
probability: Ensemble bankruptcy probability averaged across contributing models.
sans_market: Market-neutral bankruptcy probability adjustment supplied by SOV.AI.
volatility: Monthly equity volatility metric produced by SOV.AI.
multiplier: Scaling coefficient associated with the probability ensemble.
version: Upstream SOV.AI model bundle version number.

Data Splits

The data is provided as a single train split.

Dataset Maintenance

The dataset is updated monthly by Papers With Backtest.