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USING DAILY STOCK RETURNS - The Case of Event Studies*

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In this paper, we focus our attention on providing a formal framework for expressing data mining tasks in- volving time granularities, and on proposing efficient algo- rithms for performing such tasks. To this end, we introduce the notion of an event structure. An event structure is essen- tially a set of temporal constraints on a set of variables representing events. Each constraint bounds the distance between a pair of events in terms of a time granularity. For example, we can constrain two events to occur in a prescribed order, with the second one occurring between four and six hours after the first but within the same busi- ness day. We consider...

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