9th seminar by QFRG and DSLab [22.03.2021]

17 March 2021

We invite you to the ninth seminar of the monthly series of meetings conducted jointly by QFRG (Quantitative Finance Research Group) and DSLab (Data Science Lab). The meeting will be devoted to the topic: The impact of the content of Federal Open Market Committee post-meeting statements on financial markets – text mining approach.

During the meeting Ewelina Osowska – double graduate of the Faculty of Economic Sciences (polish Interdisciplinary Economic-Management studies and MA graduate of specialization “Data Science”) will present the results of the study of the reaction of the stock market and the currency market to the content of Federal Open Market Committee announcements related to decisions on interest rates. The research was conducted jointly with prof. Piotr Wójcik.

The meeting will be held online on March 22nd, 2021 at 5 p.m. on Google Meet platform.

The meeting will be conducted in English.

Link to the meeting: https://meet.google.com/zxk-zekx-zfk

The wish to take part in the meeting should be confirmed via email (QtwqghFHNiP5^&4B%JIV@]#[Blg\KR._FX2BT{A~f@RG&) your participation by March 19th.

 

Presentation abstract:

The authors examine the impact of FOMC statements on stock and foreign exchange markets with the use of text mining and linear and non-linear machine learning models together with eXplainable AI methods. The approach is based on calculating the FOMC statements’ tone and using it as a potential predictor of returns. Additionally, we incorporate the market surprise component as well as two financial indicators namely Purchasing Managers' Index and Consumer confidence index that gauge for corporate managers and retail customers assessment of the economic situation and potential fluctuations. Fourteen event windows around the event (between 1 minute and 1 hour) are considered. Research has shown that the reaction of both markets to the news is immediate. The reaction of the stock market seems to be stronger than in FOREX and therefore it can be predicted with higher accuracy. In addition, there isn’t any indication of insider trading.

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