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The market notices published by the Italian Stock Exchange: a machine learning approach for the selection of the relevant ones

Author

Listed:
  • Marta Bernardini

    (Bank of Italy)

  • Paolo Massaro

    (Bank of Italy)

  • Francesca Pepe

    (Bank of Italy)

  • Francesco Tocco

    (Bank of Italy)

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.

Suggested Citation

  • Marta Bernardini & Paolo Massaro & Francesca Pepe & Francesco Tocco, 2021. "The market notices published by the Italian Stock Exchange: a machine learning approach for the selection of the relevant ones," Questioni di Economia e Finanza (Occasional Papers) 632, Bank of Italy, Economic Research and International Relations Area.
    • Handle: RePEc:bdi:opques:qef_632_21
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    File URL: https://www.bancaditalia.it/pubblicazioni/qef/2021-0632/QEF_632_21.pdf
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    References listed on IDEAS

    as
    1. Andrea Carboni & Alessandro Moro, 2018. "Imputation techniques for the nationality of foreign shareholders in Italian firms," IFC Bulletins chapters, in: Bank for International Settlements (ed.), External sector statistics: current issues and new challenges, volume 48, Bank for International Settlements.
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    Cited by:

    1. Francesco Cusano & Giuseppe Marinelli & Stefano Piermattei, 2022. "Learning from revisions: an algorithm to detect errors in banks’ balance sheet statistical reporting," Quality & Quantity: International Journal of Methodology, Springer, vol. 56(6), pages 4025-4059, December.

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    1. Francesco Cusano & Giuseppe Marinelli & Stefano Piermattei, 2022. "Learning from revisions: an algorithm to detect errors in banks’ balance sheet statistical reporting," Quality & Quantity: International Journal of Methodology, Springer, vol. 56(6), pages 4025-4059, December.
    2. Francesco Cusano & Giuseppe Marinelli & Stefano Piermattei, 2021. "Learning from revisions: a tool for detecting potential errors in banks' balance sheet statistical reporting," Questioni di Economia e Finanza (Occasional Papers) 611, Bank of Italy, Economic Research and International Relations Area.

    More about this item

    Keywords

    machine learning; Securities Database; automatic selection; Italian Stock Exchange;
    All these keywords.

    JEL classification:

    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
    • C81 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Microeconomic Data; Data Access
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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