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Analyzing Financial Market Reactions to Event-Based Announcements

This study by Students Lee Dah-Sheng and Professor Lee Hahn-Ming discusses the significant changes in securities' values in response to key events and announcements. It explores the unpredictable nature of market responses, whether they are random or scheduled. The analysis includes event classification (such as international vs. local), the accuracy of events based on various factors, and their long-term or short-term effects. The research is supported by references to related works and methodologies in portfolio management using neural networks.

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Analyzing Financial Market Reactions to Event-Based Announcements

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  1. Event Based Financial Information Extract and analysis Student : Lee, Dah-Sheng Professor: Lee, Hahn-Ming Date: 23 July 2004

  2. Outline • Motivation • Property analysis • Related work • Approach • References

  3. Motivation • At important events or announcements, there can be large changes in the value of securities. • Events and their corresponding jumps can occur at random or scheduled times. However, the amplitude of the response in either case can be unpredictable or random.

  4. Property analysis of event • Classified event: • ex:international OR local, report or news and so on. • Accuracy of event: • It depends on author, source of event, publish date and so on. • Effective time of limitations: • The effects of events are Long term, Short term or no effective.

  5. Related work 1/2

  6. Related work 2/2

  7. Approach

  8. References [1] "An Extended ASLD Trading System to Enhance Portfolio Management“, Kei-keung Hung et al., IEEE TRANSACTIONS ON NEURAL NETWORKS, VOL. 14, NO. 2, MARCH 2003, page(s): 413-425 [2] "Group Decision With Inconsistent Knowledge", Peijun Guo et al. , IEEE TRANSACTIONS ON SYSTEMS, MAN, AND CYBERNETICS—PART A: SYSTEMS AND HUMANS, VOL. 32, NO. 6, NOVEMBER 2002, page(s): 670-679 [3] "Cost Functions and Model Combination for VaR-Based Allocation Using Neural Network", Nicolas Chapados et al. , IEEE TRANSACTIONS ON NEURAL NETWORKS, VOL. 12, NO. 4, JULY 2001, page(s): 890-906

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