Predictive modelling of FOMC decisions and market reaction: a machine learning approach

Marucci, Arturo (A.A. 2022/2023) Predictive modelling of FOMC decisions and market reaction: a machine learning approach. Tesi di Laurea in Asset pricing, Luiss Guido Carli, relatore Nicola Borri, pp. 59. [Master's Degree Thesis]

[img]
Preview
PDF (Full text)
Download (2MB) | Preview

Abstract/Index

Literature review. Predicting FOMC decision on Federal fund target rate. The impact of policy changes in target Federal funds rate on asset prices. Data. Data selection. Data preprocessing. Hypotheses development. Methodology. Forward selection. Forecasting models. Event study. Results. Forecasting results. Event study results. Backtesting strategy.

References

Bibliografia: pp. 48-49.

Thesis Type: Master's Degree Thesis
Institution: Luiss Guido Carli
Degree Program: Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56)
Outstanding Thesis: Department of Economics and Finance
Chair: Asset pricing
Thesis Supervisor: Borri, Nicola
Thesis Co-Supervisor: Patnaik, Megha
Academic Year: 2022/2023
Session: Autumn
Deposited by: Alessandro Perfetti
Date Deposited: 20 May 2024 12:22
Last Modified: 30 Jul 2024 08:40
URI: https://tesi.luiss.it/id/eprint/38530

Downloads

Downloads per month over past year

Repository Staff Only

View Item View Item