Predicting the impact of anticipatory action on US stock market - an event study using ANFIS (a neural fuzzy model)

A financial event - an announcement of corporate earnings, fed is expected to announce a change in the interest rate, and others - that is about to occur would have an impact on the stock market in terms of price movements and volume traded. Based on the expected impact of the event on the market, investors would take positions attempting to profit from the expected movements of the market upon the announcement of the event. The objective of this study is to help investors to make a more informed decision under the circumstances by providing three predictions, (1) the action day - the day when the market takes an anticipatory position before a financial event occurs, (2) the change in the indices and (3) the change in volume on the day the event occurs, as compared to the indices and the volume on the action day.