A quantitative stock prediction system based on financial news

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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N.Y.U.S.T.

I. M.Outline

Motivation Objective Methodology Experiments Conclusion Comments

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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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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


N.Y.U.S.T.

I. M.Methodology

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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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N.Y.U.S.T.

I. M.Methodology

Metrics Evaluates system output

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Closeness Directional Accuracy Simulated Trading


N.Y.U.S.T.

I. M.Experiments

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N.Y.U.S.T.

I. M.Experiments

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N.Y.U.S.T.

I. M.Experiments

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N.Y.U.S.T.

I. M.Experiments

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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%.


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

A quantitative stock prediction system based on financial news

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