Market impact analysis via sentimental transfer learning
Author(s)
Xie, Haoran
Wang, Philips Fu Lee
Wong, Tak Lam
Author(s)
Li, X.
Date Issued
2017
Publisher
IEEE
Related Publication(s)
Proceedings of the 2017 IEEE International Conference on Big Data and Smart Computing (BigComp)
Start page
451
End page
452
Abstract
The problem that how to improve the market impact prediction performances of predictors that are trained based on stocks with few market news is studied in this preliminary work. We propose sentimental transfer learning to transfer the knowledge learned from news-rich stocks that are within the same sector to the news poor stocks. News articles of both kinds of stocks are mapped into the same feature space that are constructed by sentiment dimensions. New predictors are then trained in the sentimental space in contrast to the traditional ones. Experiments based on the data of Hong Kong stocks are conducted. From the early results, it could be seen that the proposed approach is convincing.
SFU Affiliated Publication
No
Availability at SFU Library
No database links found.