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Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Alexey Pankov
Detection of Patterns Emerging in Financial Data in Response to External Events
Economics
(Bachelor’s programme)
2018
This paper improves a class of models for the prediction of stock price direction, triggered by certain external event types, such as earnings calls and news about a company. The analysis includes financial features along with features extracted and processed from texts. Performance is evaluated on the constituents of S&P 500 and MOEX indices. Various methods of text representation are assessed in terms of theoretical suitability and relative performance.

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