Identifying and Predicting Market Reactions to Information Shocks in Commodity Markets
نویسندگان
چکیده
This project proposes a three-stage time series model to identify the relationship between properties of news information shocks and patterns in market reactions to such news. Then, given a specific news update, the model predicts how market players will subsequently respond. We apply multivariate time series segmentation and clustering techniques on gold commodity futures, and then run various multi-class classification algorithms on relevant news articles.
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تاریخ انتشار 2014