Mining Quarterly Reports for Intraday Stock Price Trends

摘要

This paper proposes a methodology for predicting a change in stock prices trends for the time immediatelyfollowing the publishing of quarterly reports. The methodology consists of three components. The firstcomponent benchmarks companies from the same line of business based on their financial ratios. Thesecond component retrieves quarterly reports that share common patterns. The third component determinesthe direction of a stock price trend. The results indicate that mining of quarterly reports allows capturingimportant patterns which influence the traders' expectation and result in stock price change.