Analysis of Financial News Impact on Stock Based on A Statistical Learning Method with News Density

摘要：

Since the investors often react to news and consequently make stock prices move, .nancial news has an impact on stock prices. However, the price adjustment process is a complex one. In this paper, a statistical learning methodology has been proposed to analyze the time lag between the price moves and the released news. We .rstly set up a news-price mapping model to study the relationships among the price moves and the volume of the news articles. Cross validation has also been used to test the time lag. Experiments have been conducted by using the daily data sources in 2002 in the Hong Kong stock exchange market, and the results have showed that in most cases, the time lag is approximately equal to 1 day.

作者: Feng Wang Xiaodong Li Chenxiao Dou

作者单位: State Key Lab of Software EngineeringWuhan UniversityWuhan, China Department of Computer ScienceCity University of Hong KongKowloon, Hong Kong School of Computer Science Wuhan University Wuhan, China

会议类型: 国际会议

会议名称: 2011 Fourth International Conference on Business Intelligence and Financial Engineering(第四届商务智能与金融工程国际会议 BIFE2011)

会议地点: 武汉

会议语种:英文

页码: 122-125

在线出版日期: 2011-10-17（万方平台首次上网日期，不代表论文的发表时间）