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Reduce mean tracking error by 30% IN HIGH-STRess markets with event-aware forecasting

part 1_ipadAs trade execution systems automate larger trades, the systems are also expected to provide actionable alerts when human decisions are most likely to add value. Such systems need to anticipate unusual events when possible or, when this is not possible, identify events when they take place and adapt accordingly. FactSet’s Trading Solutions team has developed a set of event-aware forecasting tools to handle the more challenging execution optimization problems. These tools are explained in our Event-Aware Model Forecasting series.

In this white paper, Event-Aware Model Forecasting, Part 1: Volume Curves and the Closing Auction, we examine why traditional time-series models tend to perform poorly during significant market events and propose a solution—an event-aware model of volume curves that takes news, calendar events, and large overnight price gaps into consideration.

Download the first white paper in our series to discover how the event-aware model accounts for:

  • Greater front-loading of market volume following overnight stress
  • Calendar events and news, including earnings announcements
  • Federal Open Market Committee (FOMC) announcement days
  • Short market days on holidays

Complete the form to download your free copy of our white paper, Event-Aware Model Forecasting, Part 1: Volume Curves and the Closing Auction.

Patrick Biddiscombe, CEO
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Get the Event-Aware Model Forecasting White Paper