I implemented the algorithm described in the paper "In Search of Distress Risk" by John Campbell, Jens Hilscher, and Jan Szilagyi .
Link to the paper: http://scholar.harvard.edu/campbell/publications/search-distress-risk
As outlined in the book "Quantitative Value" and in their blog post
this algorithm is much better than the previous ones in predicting bankruptcy.
Maybe I did something wrong, because my implementation gives Apple a probability of bankruptcy equals to 100%
Would you help me to verify and improve my implementation?
The Research Notebook is here:
Comments and feedbacks are very welcome!