Using Structured Events To Predict Stock Price Movement
报告题目: Using Structured Events To Predict
Stock Price Movement
报告人: Yue Zhang教授
It has been shown that news events influence the trends of stock price movements. However, previous work on news-driven stock market prediction rely on shallow features(such as bags-of-words, named entities and noun phrases), which do not capture structured entity-relation information, and hence cannot represent complete and exact events. Recent advances in Open Information Extraction(Open IE) techniques enable the extraction of structured events from web-scale data. We propose to adapt Open IE technology for event-based stock price movement prediction, extracting structured events from large-scale public news without manual efforts. Both linear and nonlinear models are employed to empirically investigate the hidden and complex relationships between events and the stock market. Large-scale experiments show that the accuracy of S&P 500 index prediction is 60%, and that of individual stock prediction can be over 70%. Our event-based system outperforms bags-of-words-based baselines, and previously reported systems trained on S&P 500 stock historical data.
Yue Zhang is currently an assistant professor at Singapore University of Technology and Design. Before joining SUTD in July 2012, he worked as a postdoctoral research associate in University of Cambridge, UK. Yue Zhang received his DPhil and MSc degrees from University of Oxford, UK. and his BEng degree from Tsinghua University, China. His research interests include natural language processing, machine learning and artificial Intelligence. He has been working on statistical parsing, parsing, text synthesis, machine translation, sentiment analysis and stock market analysis intensively. Yue Zhang serves as the reviewer for top journals such as Computational Linguistics, Transaction of Association of Computational Linguistics and Journal of Artificial Intelligence Research. He is also PC member for conferences such as ACI, COLING, EMNLP, NAACI, EACI, AAAI and IJCAI. Recently, he was the area chair of COLING 2014, NAACL 2015 and EMNLP 2015.