Intelligent Database Systems Lab

N.Y.U.S.T.

I. M.

A quantitative stock prediction system based on financial news

Presenter : Chun-Jung Shih　Authors :Robert P. Schumaker , Hsinchun Chen

IPM 2009

國立雲林科技大學National Yunlin University of Science and Technology

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Intelligent Database Systems Lab

N.Y.U.S.T.

I. M.Outline

Motivation Objective Methodology Experiments Conclusion Comments

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Intelligent Database Systems Lab

N.Y.U.S.T.

I. M.Motivation

Predicting changes in the stock market has always had a certain appeal to researchers.

Acquiring relevant textual data is an important facet of stock market prediction.

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Intelligent Database Systems Lab

N.Y.U.S.T.

I. M.Objective

To create the Arizona Financial Text System (AZFinText) Seeks to contribute to the AZFinText system by comparing

AZFinText’s predictions against existing quantitative funds and human stock pricing experts.

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2317鴻海

Intelligent Database Systems Lab

N.Y.U.S.T.

I. M.Methodology

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Intelligent Database Systems Lab

N.Y.U.S.T.

I. M.Methodology

Textual analysis To identify the Proper Nouns

Use Arizona Text Extractor (AzTeK) system

Stock Quotations Gathers stock price data in 1 min increments

Model Building Provide superior performance to all combinations tested

Trading Experts Gathers the daily buy/sell recommendations from a variety of trading

experts

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Intelligent Database Systems Lab

N.Y.U.S.T.

I. M.Methodology

Metrics Evaluates system output

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Closeness Directional Accuracy Simulated Trading

Intelligent Database Systems Lab

N.Y.U.S.T.

I. M.Experiments

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Intelligent Database Systems Lab

N.Y.U.S.T.

I. M.Experiments

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Intelligent Database Systems Lab

N.Y.U.S.T.

I. M.Experiments

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Intelligent Database Systems Lab

N.Y.U.S.T.

I. M.Experiments

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Intelligent Database Systems Lab

N.Y.U.S.T.

I. M.Conclusion

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Sector had the best Directional Accuracy at 71.18% and Simulated Trading of 8.50% return on investment.

Sector also had the second-lowest Closeness score, 0.1954, as compared to Universal, 0.0443.

AZFinText had a Directional Accuracy of 71.18%, which was second-best to DayTraders.com’s 81.82%.

Intelligent Database Systems Lab

N.Y.U.S.T.

I. M.Comments

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Advantage Predicting changes in the stock market

Drawback

DayTraders.com’s Directional Accuracy batter than AZFinText

Application Information Retrieval