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Інформація × Реєстраційний номер 2120U007879, Матеріали видань та локальних репозитаріїв Категорія Препринт Назва роботи Stock market prediction utilizing central bank’s policy statements Автор Moiseiev RomanMoiseiev Roman Дата публікації 01-01-2020 Постачальник інформації Український католицький університет Першоджерело https://hdl.handle.net/20.500.14570/2036 Видання Опис The stock market is quite unpredictable and affected by a vast number of factors. Moreover, many central banks, banks, hedge funds, and other financial institutions target their R&D departments to try to predict probabilities of market movements, possible black swans, and other risks. In this work, I target inefficiencies in the prediction of the market reaction on central bank policy statements. Such statements have two parts: action and information. Therefore in complicated cases, automatic trading systems react to actions and may not recognize vital insights from the informational component. To improve this, I collected historical data for monetary actions and press releases by Federal Reserve, stock price data, Fed Fund futures contract prices. Based on that, I build several classification models to predict the classofpolicystatements. Afterward,preparedpipelineandtheeconometricmodel that can incorporate a class of a policy statement for stock market reaction evaluation Додано в НРАТ 2025-11-05 Закрити