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]
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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 |
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