Source code for skfolio.descriptor._short_interest._short_interest
"""Short interest as fraction of shares outstanding."""
# Copyright (c) 2023-2026
# Author: Hugo Delatte <hugo.delatte@skfoliolabs.com>
# SPDX-License-Identifier: BSD-3-Clause
from __future__ import annotations
import numpy as np
from skfolio.containers import AssetPanel
from skfolio.descriptor._base import BaseDescriptor
from skfolio.typing import FloatArray
from skfolio.utils.stats import safe_divide
from skfolio.utils.validation import validate_asset_panel
[docs]
class ShortInterest(BaseDescriptor, stateless=True):
r"""Short interest descriptor.
Computes the ratio of shares sold short to common shares outstanding:
.. math::
\text{short\_interest}(t) =
\frac{\text{short\_interest}(t)}
{\text{adj\_shares\_outstanding}(t)}
Short interest measures the fraction of common shares outstanding that have been
borrowed and sold short. High values indicate stronger bearish positioning and may
proxy for informed negative sentiment [1]_ [2]_.
Parameters
----------
None
Attributes
----------
n_assets_ : int
Number of assets seen during fitting.
asset_names_ : ndarray of shape (n_assets,)
Asset names seen during fitting.
Notes
-----
`short_interest` is the number of shares held short. Non-missing values must be
finite and non-negative.
`adj_shares_outstanding` is common shares outstanding. Non-missing values must be
finite and strictly positive.
Both fields must use the same split-adjustment basis.
See Also
--------
DaysToCover : EWMA-smoothed days to cover (short interest / volume).
References
----------
.. [1] "An investigation of the informational role of short interest in the Nasdaq
market" The Journal of Finance.
Desai, H., Ramesh, K., Thiagarajan, S. R., & Balachandran, B. V. (2002).
.. [2] "Short interest and aggregate stock returns"
Journal of Financial Economics.
Rapach, D. E., Ringgenberg, M. C., & Zhou, G. (2016).
Examples
--------
>>> from skfolio.datasets import make_synthetic_characteristics
>>> from skfolio.descriptor import ShortInterest
>>>
>>> X = make_synthetic_characteristics()
>>>
>>> descriptor = ShortInterest()
>>> short_interest = descriptor.fit_transform(X)
"""
