[R-SIG-Finance] effects of events that happened at the same time

[Alec Schmidt]

Thank you Brian,
Unfortunately all timestamps are the same (all announcements are published after trading hours on the same day). I'm thinking now about comparing synthetic combos (sums of various Z-scores) to find which combo has the highest impact.

Regards, Alec

________________________________
From: Brian G. Peterson <brian using braverock.com>
Sent: Thursday, May 21, 2020 5:08 PM
To: Alec Schmidt <aschmid1 using stevens.edu>; r-sig-finance using r-project.org <r-sig-finance using r-project.org>
Subject: Re: [R-SIG-Finance] effects of events that happened at the same time

On Thu, 2020-05-21 at 19:17 +0000, Alec Schmidt wrote:

I usually use some arma (+garch) model with dummy variables to study the effects of various events that happen on different days. I wonder if there is some way to discern their impacts if the events happen simultaneously, e.g. all macroeconomic announcements in some country are published on the last days of the month.

Thanks! Alec

The usual way of dealing with intreaday events is to use intraday data. tick, minute, or hourly data is widely available globally.

Regards,

Brian



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Brian G. Peterson
ph: +1.773.459.4973
im: bgpbraverock


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