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Erschienen in:
2013 | OriginalPaper | Buchkapitel
Towards Automated Event Studies Using High Frequency News and Trading Data
verfasst von : Nicolai Bohn, Fethi A. Rabhi, Dennis Kundisch, Lawrence Yao, Tobias Mutter
Erschienen in: Enterprise Applications and Services in the Finance Industry
Verlag: Springer Berlin Heidelberg
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Event studies have a long history in academic research and were used in disciplines as diverse as economics, law, information technology, marketing, and finance. One of the main challenges is that the process of undertaking such an event study is complex and many assumptions, trade-offs and design decisions need to be made. Based on Service-Oriented Computing principles, this paper proposes a business process on how to undertake and partly automate complex event studies on effects of (un)scheduled news on stocks prices using high frequency trading and news data. The proposed business process is illustrated using a case study that shows how to identify effects of unscheduled news on stock prices in the German DAX30 index.