Empirical analysis: News impact on stock prices based on news density

Proceedings - IEEE International Conference on Data Mining, ICDM

Volumn , Issue , 2010, Pages 585-592

  Li, Xiaodong ^a   Deng, Xiaotie ^a   Wang, Feng ^b   Dong, Keren ^c  

^a UNIVERSITY OF HONG KONG   (Hong Kong)

^b WUHAN UNIVERSITY   (China)

^c UNIVERSITY OF LIVERPOOL   (United Kingdom)

Author keywords

Entropy; News density; Price trend change

Indexed keywords

DENSITY MODELS; EMPIRICAL ANALYSIS; EMPIRICAL STUDIES; INFORMATION ENTROPY; LONG TERM; NEW MODEL; NEWS ARTICLES; NEWS DENSITY; PRICE TREND CHANGE; RESEARCH ISSUES; STOCK PRICE; WORD FREQUENCIES;

DATA MINING; ENTROPY;

COSTS;

EID: 79951760071     PISSN: 15504786     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/ICDMW.2010.124     Document Type: Conference Paper

References (30)

1. E.F. Fama. The behavior of stock-market prices. Journal of business, 38(1), 1965.
2. N. Barberis and R. Thaler. A survey of behavioral finance. Handbook of the Economics of Finance, 1:1053-1128, 2003.
3. F. Klein and J. A. Prestbo. News and the market. 1974.
4. G. Fung, J. Yu, and W. Lam. News sensitive stock trend prediction. Advances in Knowledge Discovery and Data Mining, pages 481-493, 2002.
5. G.P.C. Fung, J.X. Yu, and H. Lu. The predicting power of textual information on financial markets. IEEE Intelligent Informatics Bulletin, 5(1):1-10, 2005.
6. D. Wu, G. Fung, J. Yu, and Z. Liu. Integrating Multiple Data Sources for Stock Prediction. Web Information Systems Engineering-WISE 2008, pages 77-89.
7. D. Wu, G.P.C. Fung, J.X. Yu, and Q. Pan. Stock prediction: an event-driven approach based on bursty keywords. Frontiers of Computer Science in China, 3(2):145-157, 2009.
8. R.P. Schumaker and H. Chen. Textual analysis of stock market prediction using financial news articles. In Americas Conference on Information Systems, 2006.
9. R.P. Schumaker and H. Chen. Textual analysis of stock market prediction using breaking financial news: The AZFin text system. ACM Transactions on Information Systems (TOIS), 27(2):12, 2009.
10. R.P. Schumaker and H. Chen. A quantitative stock prediction system based on financial news. Information Processing & Management, 45(5):571-583, 2009.
11. R.P. Schumaker and H. Chen. A Discrete Stock Price Prediction Engine Based on Financial News. Computer, 43(1):51-56, 2010.
12. L. PÁSTOR and R.F. Stambaugh. Predictive systems: Living with imperfect predictors. The Journal of Finance, 64(4):1583-1628, 2009.
13. L.H. Ederington and J.H. Lee. How markets process information: News releases and volatility. Journal of Finance, 48(4):1161-1191, 1993.
14. R.F. Engle and V.K. Ng. Measuring and testing the impact of news on volatility. Journal of finance, 48(5):1749-1778, 1993.
15. Y.W. Seo, J. Giampapa, and K. Sycara. Financial news analysis for intelligent portfolio management. Robotics Institute, Carnegie Mellon University, 2004.
16. T. Kohonen. Self-organized formation of topologically correct feature maps. Biological cybernetics, 43(1):59-69, 1982. (Pubitemid 12139984)
17. T. Kohonen and P. Somervuo. Self-organizing maps of symbol strings. Neurocomputing, 21(1-3):19-30, 1998. (Pubitemid 28526810)
18. A. Ultsch. Data mining and knowledge discovery with emergent self-organizing feature maps for multivariate time series. Kohonen Maps, 46, 1999.
19. T. Fu, FL Chung, V. Ng, and R. Luk. Pattern discovery from stock time series using self-organizing maps. In Workshop Notes of KDD2001 Workshop on Temporal Data Mining, pages 26-29. Citeseer, 2001.
20. T. Joachims. Text categorization with support vector machines: Learning with many relevant features. Machine Learning: ECML-98, pages 137-142, 1998. (Pubitemid 128067178)
21. P.J. Smyth. Hidden Markov models for fault detection in dynamic systems, November 7 1995. US Patent 5, 465, 321.
22. T. Pavlidis and S.L. Horowitz. Segmentation of plane curves. IEEE transactions on Computers, 100(23):860-870, 1974.
23. B. Pang, L. Lee, and S. Vaithyanathan. Thumbs up?: sentiment classification using machine learning techniques. In Proceedings of the ACL-02 conference on Empirical methods in natural language processing-Volume 10, pages 79-86. Association for Computational Linguistics, 2002.
24. S.M. Kim and E. Hovy. Determining the sentiment of opinions. In Proceedings of COLING, volume 4, pages 1367- 1373, 2004.
25. N. Godbole, M. Srinivasaiah, and S. Skiena. Large-scale sentiment analysis for news and blogs. ICWSM07, 2007.
26. B. Pang and L. Lee. Opinion mining and sentiment analysis. Foundations and Trends in Information Retrieval, 2(1-2):1- 135, 2008.
27. C.C. Hardy. The investor's guide to technical analysis. McGraw-Hill New York, 1978.
28. L. Blume, D. Easley, and M. O'hara. Market statistics and technical analysis: The role of volume. Journal of Finance, pages 153-181, 1994.
29. R.D. Edwards, J. Magee, and WHC Bassetti. Technical analysis of stock trends. CRC, 2007.
30. C.C. Chang and C.J. Lin. LIBSVM: a library for support vector machines, 2001.