Certificate of Completion
THIS ACKNOWLEDGES THAT
HAS COMPLETED THE MAY-SUMMER 2024 DATA SCIENCE BOOT CAMP
Neophytos Charalambides
Roman Holowinsky, PhD
JUNE 10, 2024
DIRECTOR
DATE
TEAM
Is it Priced In? Classifying Efficient Markets
Tanuj Mathur, Ram Purandhar Reddy Sudha, Anuvetha Govindarajan, Pinky Thomas, Neophytos Charalambides
In this project, we attempt to answer the question “Is the market aware of the situation which has taken place regarding a certain event and has it reacted to it?”. This is commonly referred to as “Priced In”, i.e. ``are all available information regarding a particular event or news, or potential outcome, already reflected in the current price of a financial asset, stock market index, or ticker symbol?''. Our approach primarily consisted of data scraping and cleaning, and training a Recurrent Neural Network. The results demonstrate that for events such as Earnings Reports, the market efficiently captures the effects through either anticipation before the event or re-adjustments after the event, and the model’s accuracy in predicting the overall effect of events (positive or negative) based on market & stock history highlights its robustness and practicality in applications.