Textual analysis of stock market prediction using financial news articles

Robert P. Schumaker, Hsinchun Chen

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

40 Citations (Scopus)

Abstract

This paper examines the role of financial news articles on three different textual representations; Bag of Words, Noun Phrases, and Named Entities and their ability to predict discrete number stock prices twenty minutes after an article release. Using a Support Vector Machine (SVM) derivative, we show that our model had a statistically significant impact on predicting future stock prices compared to linear regression. We further demonstrate that using a Noun Phrase representation scheme performs better than the de facto standard of Bag of Words.

Original languageEnglish (US)
Title of host publicationAssociation for Information Systems - 12th Americas Conference On Information Systems, AMCIS 2006
Pages1422-1430
Number of pages9
Volume3
StatePublished - 2006
Event12th Americas Conference on Information Systems, AMCIS 2006 - Acapulco, Mexico
Duration: Aug 4 2006Aug 6 2006

Other

Other12th Americas Conference on Information Systems, AMCIS 2006
CountryMexico
CityAcapulco
Period8/4/068/6/06

Fingerprint

stock market
Linear regression
Support vector machines
news
Derivatives
regression
ability
Financial markets

Keywords

  • Bag of words
  • Named entities
  • Noun phrases
  • Prediction
  • Stock market
  • SVM

ASJC Scopus subject areas

  • Computer Science Applications
  • Computer Networks and Communications
  • Library and Information Sciences
  • Information Systems

Cite this

Schumaker, R. P., & Chen, H. (2006). Textual analysis of stock market prediction using financial news articles. In Association for Information Systems - 12th Americas Conference On Information Systems, AMCIS 2006 (Vol. 3, pp. 1422-1430)

Textual analysis of stock market prediction using financial news articles. / Schumaker, Robert P.; Chen, Hsinchun.

Association for Information Systems - 12th Americas Conference On Information Systems, AMCIS 2006. Vol. 3 2006. p. 1422-1430.

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

Schumaker, RP & Chen, H 2006, Textual analysis of stock market prediction using financial news articles. in Association for Information Systems - 12th Americas Conference On Information Systems, AMCIS 2006. vol. 3, pp. 1422-1430, 12th Americas Conference on Information Systems, AMCIS 2006, Acapulco, Mexico, 8/4/06.
Schumaker RP, Chen H. Textual analysis of stock market prediction using financial news articles. In Association for Information Systems - 12th Americas Conference On Information Systems, AMCIS 2006. Vol. 3. 2006. p. 1422-1430
Schumaker, Robert P. ; Chen, Hsinchun. / Textual analysis of stock market prediction using financial news articles. Association for Information Systems - 12th Americas Conference On Information Systems, AMCIS 2006. Vol. 3 2006. pp. 1422-1430
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