The Market Notices Published by the Italian Stock Exchange: A Machine Learning Approach for the Selection of the Relevant Ones

23 Pages Posted: 30 Jul 2021

Date Written: July 29, 2021

Abstract

Bank of Italy data managers check the market notices published daily by the Italian Stock Exchange (Borsa Italiana) and select those of interest to update the Bank of Italy's Securities Database. This activity is time-consuming and prone to errors should a data manager overlook a relevant notice. In this paper we describe the implementation of a supervised model to automatically select the market notices. The model outperforms the manual approach used by data managers and can therefore be implemented in the regular process to update the Securities Database.

Keywords: machine learning, Securities Database, automatic selection, Italian Stock Exchange

JEL Classification: C18, C81, G23

Suggested Citation

Massaro, Paolo and Bernardini, Marta and Pepe, Francesca and Tocco, Francesco, The Market Notices Published by the Italian Stock Exchange: A Machine Learning Approach for the Selection of the Relevant Ones (July 29, 2021). Bank of Italy Occasional Paper No. 632, Available at SSRN: https://ssrn.com/abstract=3896319 or http://dx.doi.org/10.2139/ssrn.3896319

Paolo Massaro (Contact Author)

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

Marta Bernardini

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

Francesca Pepe

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

Francesco Tocco

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

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