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kjetil b halvorsen ♦
kjetil b halvorsen ♦
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Measuring the affecteffect of a single event on the stock market

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John
John
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Due to the already extremely random model of the stock market, this is a bit of a tough ask, but is it possible to attempt to measure the affect of a single annual recurring event on a specific companies price?

For example, if the google I/O annual developer's meeting affects the price at all? I plan on doing this for multiple different companies, and I plan on factoring in the conference date, to look at the prices around 1 weekthe weeks of the conference, as well as whether or not products were announced at these events.

I am thinking that the correct path to take here is an intervention analysis by taking the data before the event and generating an arima model, then using that model to forecast values after the conference, then difference the actual and forecasted values.

Due to the already extremely random model of the stock market, this is a bit of a tough ask, but is it possible to attempt to measure the affect of a single annual recurring event on a specific companies price?

For example, if the google I/O annual developer's meeting affects the price at all? I plan on doing this for multiple different companies, and I plan on factoring in the conference date, to look at the prices around 1 week of the conference, as well as whether or not products were announced at these events.

Due to the already extremely random model of the stock market, this is a bit of a tough ask, but is it possible to attempt to measure the affect of a single annual recurring event on a specific companies price?

For example, if the google I/O annual developer's meeting affects the price at all? I plan on doing this for multiple different companies, and I plan on factoring in the conference date, to look at the prices around the weeks of the conference, as well as whether or not products were announced at these events.

I am thinking that the correct path to take here is an intervention analysis by taking the data before the event and generating an arima model, then using that model to forecast values after the conference, then difference the actual and forecasted values.

Source Link
John
John
  • 21
  • 2

Measuring the affect of a single event on the stock market

Due to the already extremely random model of the stock market, this is a bit of a tough ask, but is it possible to attempt to measure the affect of a single annual recurring event on a specific companies price?

For example, if the google I/O annual developer's meeting affects the price at all? I plan on doing this for multiple different companies, and I plan on factoring in the conference date, to look at the prices around 1 week of the conference, as well as whether or not products were announced at these events.