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The arima model for stock price prediction: studying the impact of news announcements through the use of agent-based modelling
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Orientador(es)
Resumo(s)
The relationship between new information and stock price movement is of great interest for
investors. News announcements generally cause changes in stock prices, as they affect public
perception of products and companies. An accurate predictive model allows us to take
advantage of this unexpected movement. In this project, we use Agent-Based modelling to
study the impact of news announcements on the ARIMA model’s accuracy. Overall, we
conclude that a significant shock can cause long-term effects on the model’s precision.
Descrição
Palavras-chave
Agent-based models Arima News Stock price prediction