This project demonstrates the impact that major news relating to Brexit has on the GBP/EUR market. Google Trends is used to identify major events by applying the Relative Strength Index indicator, with a standard T Test verifying the statistical significance of the abnormal returns generated by the events.
If curl is not installed on the current pc, please issue the following command in the terminal:
sudo apt-get install libcurl4-openssl-dev
Once done, please open an R terminal and install the following package:
install.packages("TTR")
The package TTR
allows us to make use of teechnical analysis indicators such as the RSI.
The script can then be run from the command line as follows:
R < BrexitMarketImpact.R --no-save
When run, the script will output the T Statistic bounds as well as the T Value for each financial assets. It will also create a pdf file within the same directory with all the plots.