On the importance of text analysis for stock price prediction

Heeyoung Lee, Mihai Surdeanu, Bill MacCartney, Dan Jurafsky

Research output: Chapter in Book/Report/Conference proceedingConference contribution

38 Scopus citations

Abstract

We investigate the importance of text analysis for stock price prediction. In particular, we introduce a system that forecasts companies' stock price changes (UP, DOWN, STAY) in response to financial events reported in 8-K documents. Our results indicate that using text boosts prediction accuracy over 10% (relative) over a strong baseline that incorporates many financially-rooted features. This impact is most important in the short term (i.e., the next day after the financial event) but persists for up to five days.

Original languageEnglish (US)
Title of host publicationProceedings of the 9th International Conference on Language Resources and Evaluation, LREC 2014
PublisherEuropean Language Resources Association (ELRA)
Pages1170-1175
Number of pages6
ISBN (Electronic)9782951740884
StatePublished - Jan 1 2014
Event9th International Conference on Language Resources and Evaluation, LREC 2014 - Reykjavik, Iceland
Duration: May 26 2014May 31 2014

Other

Other9th International Conference on Language Resources and Evaluation, LREC 2014
CountryIceland
CityReykjavik
Period5/26/145/31/14

Keywords

  • 8-K text analysis
  • Financial events
  • Stock price forecasting

ASJC Scopus subject areas

  • Linguistics and Language
  • Library and Information Sciences
  • Education
  • Language and Linguistics

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  • Cite this

    Lee, H., Surdeanu, M., MacCartney, B., & Jurafsky, D. (2014). On the importance of text analysis for stock price prediction. In Proceedings of the 9th International Conference on Language Resources and Evaluation, LREC 2014 (pp. 1170-1175). European Language Resources Association (ELRA).