2013-02-21 (木) 18:38:47 (2842d) | Topic path: Top / Permunetilleke+98


Daily prediction of major stock indices from textual www data (1998) [6 citations] by D. Permunetilleke, S. Leung, V. Cho, J. Zhang, W. Lam In Proceedings of the 4th International Conference on Knowledge Discovery and Data Mining - KDD-98

We predict stock markets using information contained in articles published on the Web. Mostly textual articles appearing in the leading and the most influential financial newspapers are taken as input. From those articles the daily closing values of major stock market indices in Asia, Europe and America are predicted. Textual statements contain not only the effect (e.g., stocks down) but also the possible causes of the event (e.g., stocks down because of weakness in the dollar and consequently a weakening of the treasury bonds). Exploiting textual information therefore increases the quality of the input. The forecasts are available real-time via daily at 7:45 am Hong Kong time. Hence all predictions are available before the major Asian markets start trading. Several techniques, such as rule-based, k-NN algorithm and neural net, have been employed to produce the forecasts. Those techniques are compared with one another. A trading strategy based on the system's forecast is suggested.

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