Combining technical analysis with sentiment analysis for stock price prediction

Shangkun Deng, Takashi Mitsubuchi, Kei Shioda, Tatsuro Shimada, Akito Sakurai

研究成果: Conference contribution

56 被引用数 (Scopus)

抄録

This paper proposes a stock price prediction model, which extracts features from time series data and social networks for prediction of stock prices and evaluates its performance. In this research, we use the features such as numerical dynamics (frequency) of news and comments, overall sentiment analysis of news and comments, as well as technical analysis of historic price and volume. We model the stock price movements as a function of these input features and solve it as a regression problem in a Multiple Kernel Learning regression framework. Experimental results show that our proposed method outperforms other baseline methods in terms of magnitude prediction measures such as RMSE, MAE and MAPE for three famous Japan companies' stocks in US stock market. The results indicate that features other than mining from stock prices themselves improved the performance.

本文言語English
ホスト出版物のタイトルProceedings - IEEE 9th International Conference on Dependable, Autonomic and Secure Computing, DASC 2011
ページ800-807
ページ数8
DOI
出版ステータスPublished - 2011
イベント9th IEEE Int. Conf. on Dependable, Autonomic and Secure Comput., DASC 2011, incl. 9th Int. Conf. on Pervasive Intelligence and Computing, PICom 2011, 9th Int. Symp. on Embedded Computing, EmbeddedCom 2011, 1st Int. Conf. on Cloud and Green Comput.CGC - Sydney, NSW, Australia
継続期間: 2011 12月 122011 12月 14

出版物シリーズ

名前Proceedings - IEEE 9th International Conference on Dependable, Autonomic and Secure Computing, DASC 2011

Other

Other9th IEEE Int. Conf. on Dependable, Autonomic and Secure Comput., DASC 2011, incl. 9th Int. Conf. on Pervasive Intelligence and Computing, PICom 2011, 9th Int. Symp. on Embedded Computing, EmbeddedCom 2011, 1st Int. Conf. on Cloud and Green Comput.CGC
国/地域Australia
CitySydney, NSW
Period11/12/1211/12/14

ASJC Scopus subject areas

  • 計算理論と計算数学
  • ソフトウェア

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