Stock price movement prediction using representative prototypes of financial reports

ACM Transactions on Management Information Systems

Volumn 2, Issue 3, 2011, Pages

  Lin, Ming Chih ^a   Lee, Anthony J T ^a   Kao, Rung Tai ^a   Chen, Kuo Tay ^a  

^a NATIONAL TAIWAN UNIVERSITY   (Taiwan)

Author keywords

Document clustering; Financial report; Hybrid clustering; Stock price movement prediction

Indexed keywords

CLASSIFICATION SYSTEM; COMMERCIAL APPLICATIONS; DOCUMENT CLUSTERING; EMPIRICAL EVALUATIONS; FINANCIAL REPORTS; HYBRID CLUSTERING; INDUSTRY SECTORS; PARTIAL INFORMATION; QUALITATIVE FEATURES; QUANTITATIVE FEATURES; STOCK PRICE; WEIGHTING SCHEME;

FINANCE; PROFITABILITY;

FORECASTING;

EID: 84859703864     PISSN: 2158656X     EISSN: 21586578     Source Type: Journal    
DOI: 10.1145/2019618.2019625     Document Type: Article

References (32)

1. Back B. Toivonenb J. Vanharanta H. And Visa A. 2001. Comparing Numerical Data And Text Information From Annual Reports Using Self-Organizing Maps. Int. J. Account. Inf. Syst. 2, 249-269. (Pubitemid 33632525)
2. Carnes T. A. 2006. Unexpected Changes In Quarterly Financial-Statement Line Items And Their Relationship To Stock Prices. Acad. Account. Finan. Studies J. 10, 3, 99-116.
3. Chang C. C. And Lin C. J. 2001. Libsvm: A Library For Support Vector Machines. http://Www.Csie.Ntu.Edu.Tw/Cjlin/Libsvm/.
4. Chapelle O. 2007. Training A Support Vector Machine In The Primal. Neural Comput. 19, 5, 1155-1178.
5. Chen B. Tai P. C. Harrison R. And Pan Y. 2005. Novel Hybrid Hierarchical-K-Means Clustering Method (H-K-Means) For Microarray Analysis. In Proceedings Of The Ieee International Conference On Computational Systems Bioinformatics. 105-108. (Pubitemid 44462178)
6. Chen K. T. Chen T. J. And Yen J. C. 2009. Predicting Future Earnings Change Using Numeric And Textual Information In Financial Reports. In Proceedings Of The Pacific Asia Conference On Knowledge Discovery And Data Mining. 54-63.
7. Chen P. And Zhang G. 2007. How Do Accounting Variables Explain Stock Price Movements? Theory And Evidence. J. Account. Econ. 43, 219-244.
8. Cheu E. Y. Kwoh C. K. And Zhou Z. 2004. On The Two-Level Hybrid Clustering Algorithm. In Proceedings Of The International Conference On Artificial Intelligence In Science And Technology. 138-142.
9. Dias W. And Fonseca R. 2010. The Language Of Annual Reports As An Indicator Of The Organizations' Financial Situation. Int. Rev. Bus. Res. Papers 6, 5, 206-215.
10. Gid ófalvi G. 2001. Using News Articles To Predict Stock Price Movements. Tech. Rep. Department Of Computer Science And Engineering University Of California San Diego.
11. Han Z. X.,Feng S.,Ye Y. And Jiang Q. 2009. A Parameter-Free Hybrid Clustering Algorithm Used For Malware Categorization. In Proceedings Of The 3Rd International Conference On Anti-Counterfeiting Security And Identification In Communication. 480-483.
12. Hu J. Ray B. K. And Singh M. 2007. Statistical Methods For Automated Generation Of Service Engagement Staffing Plans. Ibm J. Res. Devel. 51, 3, 281-293. (Pubitemid 47163420)
13. Joachims T. 1998. Text Categorization With Support Vector Machines: Learning With Many Relevant Features. In Proceedings Of The 10Th European Conference On Machine Learning. 137-142. (Pubitemid 128067178)
14. Kloptchenko A. Eklund T. Back B. Karlsson J. Vanharanta H. And Visa A. 2004. Combining Data And Text Mining Techniques For Analyzing Financial Reports. Intell. Syst. Account. Finance Manag. 12, 1, 29-41.
15. Kogan S. Levin D.,Routledge B. R. Sagi J. S. And Smith N. A. 2009. Predicting Risk From Financial Reports With Regression. In Proceedings Of The Naacl Human Language Technologies Conference. 272-280.
16. Kohonen T. 1990. The Self-Organizing Map. In Proc. Ieee 78, 9, 1464-1480.
17. Lavrenko V. Schmill M.,Lawrie D.,Ogilvie P. Jensen D. And Allan J. 2000. Mining Of Concurrent Text And Time Series. In Proceedings Of The 6Th Acm Sigkdd International Conference On Knowledge Discovery And Data Mining. 37-44.
18. Lebaron B.,Arthur W. B. And Palmer R. 1999. Time Series Properties Of An Artificial Stock Market. J. Econ. Dynam. Control 23, 9-10, 1487-1516.
19. Lehtinen J. 1996. Financial Ratios In An International Comparison: Validity And Reliability. Acta Wasaensia 49.
20. Magnusson C. Arppe A. Eklund T. Back B. Vanharanta H. And Visa A. 2005. The Language Of Quarterly Reports As An Indicator Of Change In The Company'S Financial Status. Inf. Manag. 42, 561-574. (Pubitemid 40114726)
21. Mittermayer M. 2004. Forecasting Intraday Stock Price Trends With Text Mining Techniques. In Proceedings Of The 37Th Annual Hawaii International Conference On System Science. 30064.2.
22. Porter M. F. 1980. An Algorithm For Suffix Stripping. Program 14, 130-137.
23. Qian G. Sural S. Gu Y. And Pramanik S. 2004. Similarity Between Euclidean And Cosine Angle Distance For Nearest Neighbor Queries. In Proceedings Of The Acm Symposium On Applied Computing. 1232-1237.
24. Qiu X. Y. Srinivasan P. And Street N. 2006. Exploring The Forecasting Potential Of Company Annual Reports. In Proceedings Of The American Society For Information Science And Technology. 1-15.
25. Schumaker R. P. And Chen H. 2009. Textual Analysis Of Stock Market Prediction Using Breaking Financial News: The Azfin Text System. Acm Trans. Inf. Syst. 27, 2, 1-19.
26. Steinbach M.,Karypis G. And Kumar V. 2000. A Comparison Of Document Clustering Techniques. In Proceedings Of The Kdd Workshop On Text Mining. 525-526.
27. Takahashi S. Takahashi M. Takahashi H. And Tsuda K. 2006. Analysis Of Stock Price Return Using Textual Data And Numerical Data Through Text Mining. In Proceedings Of The 10Th Knowledge-Based Intelligent Information And Engineering Systems. Lecture Notes In Computer Science Vol. 4252. Springer Berlin, 310-316. (Pubitemid 44700266)
28. Tan S. Cheng X. Ghanem M. M. Wang B. And Xu H. 2005. A Novel Refinement Approach For Text Categorization. In Proceedings Of The 14Th Acm Conference On Information And Knowledge Management. 469-476. (Pubitemid 44022219)
29. Williams G. C. 1998. Collocational Networks: Interlocking Patterns Of Lexis In A Corpus Of Plant Biology Research Articles. Int. J. Corpus Linguist. 3, 151-171.
30. Wuthrich B. Cho V. Leung S. Permunetilleke D. Sankaran K. Zhang J. And Lam W. 1998. Daily Stock Market Forecast From Textual Web Data. In Proceedings Of The Ieee International Conference On Systems Man And Cybernetics. 2720-2725.
31. Zhai Y. Hsu A. And Halgamuge S. K. 2007. Combining News And Technical Indicators In Daily Stock Price Trends Prediction. In Proceedings Of The 4Th International Symposium On Neural Networks. Advances In Neural Networks. Lecture Notes In Computer Science Vol. 4493. Springer Berlin, 1087-1096.
32. Zhanga J. And Wang Y. 2008. A Rough Margin Based Support Vector Machine. Inf. Sci. 178, 9, 2204-2214.