Detection of Patterns Emerging in Financial Data in Response to External Events

Student: Pankov Alexey

Supervisor: Alexey Artemov

Educational Programme: Economics (Bachelor)

Year of Graduation: 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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