اخبار مالی پیش بینی می کند نوسانات بازار سهام بهتر از قیمت نزدیک است
|کد مقاله||سال انتشار||تعداد صفحات مقاله انگلیسی||ترجمه فارسی|
|100769||2018||3 صفحه PDF||سفارش دهید|
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Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : The Journal of Finance and Data Science, Available online 8 February 2018
The behaviour of time series data from financial markets is influenced by a rich mixture of quantitative information from the dynamics of the system, captured in its past behaviour, and qualitative information about the underlying fundamentals arriving via various forms of news feeds. Pattern recognition of financial data using an effective combination of these two types of information is of much interest nowadays, and is addressed in several academic disciplines as well as by practitioners. Recent literature has focused much effort on the use of news-derived information to predict the direction of movement of a stock, i.e. posed as a classification problem, or the precise value of a future asset price, i.e. posed as a regression problem. Here, we show that information extracted from news sources is better at predicting the direction of underlying asset volatility movement, or its second order statistics, rather than its direction of price movement. We show empirical results by constructing machine learning models of Latent Dirichlet Allocation to represent information from news feeds, and simple naÃ¯ve Bayes classifiers to predict the direction of movements. Empirical results show that the average directional prediction accuracy for volatility, on arrival of new information, is 56%, while that of the asset close price is no better than random at 49%. We evaluate these results using a range of stocks and stock indices in the US market, using a reliable news source as input. We conclude that volatility movements are more predictable than asset price movements when using financial news as machine learning input, and hence could potentially be exploited in pricing derivatives contracts via quantifying volatility.