Research on Stock Price Prediction and Trading Strategy Based on Multi-Level News

被引：0

作者：

Long, Wen ^{[1
]}

Tian, Jiaqi ^{[1
]}

Mao, Yuanfeng ^{[1
]}

机构：

[1] School of Economics and Management, University of Chinese Academy of Sciences, Beijing

来源：

Computer Engineering and Applications | 2024年 / 59卷 / 03期

关键词：

multi-kernel learning model; multi-level financial news; stock price trend; trading strategy;

D O I：

10.3778/j.issn.1002-8331.2109-0388

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

The paper builds a comprehensive news system including three levels: company, sub industry and industry to expand the scope of news used in stock price forecasting task from the perspective of news level and study the prediction effect of multi-level news system on stock price trend. In order to make better use of the news at all levels, multi-kernel learning (MKL) model is used. It is found that the three levels of news can play a role in prediction. Compared with the support vector machine (SVM) model considering only individual stock news, the prediction accuracy of MKL model based on multi-level news is improved by 10%. The trading strategy is constructed according to the above model. The simulation results show that the MKL model with multi-level news has important practical value in market trading. © 2024 Journal of Computer Engineering and Applications Beijing Co., Ltd.; Science Press. All rights reserved.

引用

页码：293 / 299

页数：6

共 29 条

[1]

NIEDERHOFFER V., The analysis of world events and stock prices, Journal of Business, 44, 2, pp. 193-219, (1971)

[2]

MITCHELL M L, MULHERIN J H., The impact of public information on the stock market, Journal of Finance, 49, 3, pp. 923-950, (1994)

[3]

TETLOCK P C., Giving content to investor sentiment: the role of media in the stock market, Journal of Finance, 62, 3, pp. 1139-1168, (2007)

[4]

FANG L, PERESS J., Media coverage and the cross-section of stock returns, Journal of Finance, 64, 5, pp. 2023-2052, (2009)

[5]

YOU J X, WU J., Spiral of silence: media sentiment and the asset mispricing, Economic Research Journal, 47, 7, pp. 141-152, (2012)

[6]

YANG J H, SHEN S., The empirical analysis of the influence of media report on stock price synchronicity, Statistics & Decision, 34, 12, pp. 156-159, (2018)

[7]

CAMPBELL J, LETTAU M, MALKIEL B, Et al., Have individual stocks become more volatile？ An empirical exploration of idiosyncratic risk, Journal of Finance, 56, 1, pp. 1-43, (2001)

[8]

DURNEV A, MORCK R, YEUNG B, Et al., Does greater firm-specific return variation mean more or less informed stock pricing?, Journal of Accounting Research, 41, 5, pp. 797-836, (2003)

[9]

DURNEV A, MORCK R, YEUNG B., Value-enhancing capital budgeting and firm-specific stock return variation, Journal of Finance, 59, 1, pp. 65-105, (2004)

[10]

LI Q, WANG T J, LI P, Et al., The effect of news and public mood on stock movements, Information Sciences, 278, 9, pp. 826-840, (2014)

← 1 2 3 →