News and financial market

Zou, Jing

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https://hdl.handle.net/2142/34447 Copy

Description

Title

News and financial market

Author(s)

Zou, Jing

Issue Date

2012-09-18T21:17:38Z

Director of Research (if dissertation) or Advisor (if thesis)

Zhai, ChengXiang

Department of Study

Computer Science

Discipline

Computer Science

Degree Granting Institution

University of Illinois at Urbana-Champaign

Degree Name

M.S.

Degree Level

Thesis

Keyword(s)

• News
• Adjusted Document Frequency-Inverse Document Frequency (ADFIDF)
• Market prediction
• Topic model

Abstract

News can influent the market. It has been proven that using text mining techniques, financial news can be used to predict market trend and volatility. In this thesis, we study some existing prediction algorithms that are based on Naive Bayes Classifier and Adjusted Document Frequency-Inverse Document Frequency(ADFIDF) weighting. Although occurrence of features selected by ADFIDF weighting can usually represent volatility bursts in financial market, it has been unclear whether it is also effective for market trend or trading volume. We conduct experiments that test the effectiveness of ADFIDF feature selection algorithm in finding correlation between news, market volume and trend. Our experiement result shows that a thin positive correlation exists between ADFIDF features occurrence and market volume. However, features occurrence and market trend are not directly correlated. We also propose a novel algorithm of finding correlation between news and financial market. The proposed algorithm is based on topic model and adjust TF-IDF weighting. It allows us to identify a few factors that could influence the performance of a prediction algorithm, such as number of topics of a model and adjustment. of IDF value. Our experiment results also show that grouping stocks together does not necessarily improve the performance of a prediction algorithm.

Graduation Semester

2012-08

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http://hdl.handle.net/2142/34447

Copyright and License Information

Copyright 2012 Jing Zou

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