Automated ANN alerts: one step ahead with mobile support
- In this paper, I examine the potential of mobile alerting services empowering investors to react quickly to critical market events. Therefore, an analysis of short-term (intraday) price effects is performed. I find abnormal returns to company announcements which are completed within a timeframe of minutes. To make use of these findings, these price effects are predicted using pre-defined external metrics and different estimation methodologies. Compared to previous research, the results provide support that artificial neural networks and multiple linear regression are good estimation models for forecasting price effects also on an intraday basis. As most of the price effect magnitude and effect delay can be estimated correctly, it is demonstrated how a suitable mobile alerting service combining a low level of user-intrusiveness and timely information supply can be designed.
| Author: | Jan MuntermannORCiDGND |
|---|---|
| URN: | urn:nbn:de:bvb:384-opus4-937261 |
| Frontdoor URL | https://opus.bibliothek.uni-augsburg.de/opus4/93726 |
| URL: | https://nbn-resolving.org/urn:nbn:de:hebis:30-23932 |
| Publisher: | Universitätsbibliothek Johann Christian Senckenberg |
| Place of publication: | Frankfurt am Main |
| Type: | Working Paper |
| Language: | English |
| Date of Publication (online): | 2022/03/17 |
| Year of first Publication: | 2005 |
| Publishing Institution: | Universität Augsburg |
| Release Date: | 2022/03/17 |
| Page Number: | 12 |
| Institutes: | Wirtschaftswissenschaftliche Fakultät |
| Wirtschaftswissenschaftliche Fakultät / Institut für Betriebswirtschaftslehre | |
| Wirtschaftswissenschaftliche Fakultät / Institut für Betriebswirtschaftslehre / Lehrstuhl für Betriebswirtschaftslehre mit dem Schwerpunkt Financial Data Analytics | |
| Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Licence (German): |  Deutsches Urheberrecht |
