CITY UNIVERSITY OF HONG KONG 香港城市大學. News Impact Analysis in Algorithmic Trading 新聞在算法交易中的影響分析

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1 CITY UNIVERSITY OF HONG KONG 香港城市大學 News Impact Analysis in Algorithmic Trading 新聞在算法交易中的影響分析 Submitted to Department of Computer Science 電腦科學系 in Partial Fulfillment of the Requirements for the Degree of Doctor of Philosophy 哲學博士學位 by Li Xiaodong 李曉東 September 2014 二零一四年九月

2 Abstract The stock market is one of the most important financial markets. Investors in the market gather and process market information to enhance their trading decisions. Among all forms of information, market news that reports the latest market status is one of the most important information sources that are believed to have an impact on the stock prices. With the advancement of algorithmic trading, news agencies, such as Bloomberg, have made a tremendous improvement on the reporting speed and the volume of their news. However, the format of the news is not machine-readable, and the voluminous news stream makes it increasingly difficult to be processed manually. Therefore, how to model and automatically process the market news, and analyze its market impact have become a set of challenging problems in both academic study and industrial practice. In this thesis, news impact is modelled and analyzed from three perspectives. For each perspective, we use one chapter to describe the approach we propose and discuss the experiment setup and results. Firstly, we study the problem of how news sentiment can help stock price prediction. Bag-of-words approach analyzes the latent relationship between statistical patterns of words and stock price movements. In contrast, news sentiment, which is an important ring in the chain of mapping from word patterns to price movements, analyzes the news impact in sentiment space. We first implement a generic stock price prediction framework which can make use of different external signals to predict the stock prices. We then use the Harvard psychological dictionary and Loughran-McDonald financial sentiment dictionary to construct the sentiment space. Text news articles are then quantitatively measured and pro-

3 ii Abstract jected onto the sentiment space. Predictions generated by either the bag-of-words approach or sentiment analysis are evaluated and compared at different market classification levels. Experiments are conducted on five-year daily historical Hong Kong Stock Exchange prices and news articles. Results show that: (1) At individual stock level, sector index level and market index level, the models with sentiment analysis outperform the bag-of-words model in both the validation set and the independent testing set; (2) The models which use sentiment polarity cannot provide useful predictions; (3) There is a minor difference between the models using the two different sentiment dictionaries. Secondly, we study the problem of how news summarization can help stock price prediction. A multiple document summarization algorithm is proposed to summarize the daily news articles. Compared with conventional summarization methods, the proposed algorithm constructs and preserves sentence relevance structures during the recursive calculation of sentence significance values. Potential important sentences present themselves gradually by gaining higher significance values, and the summary paragraph is then generated by selecting top-k scored sentences. Convergence of the algorithm is proved, and experiment, which is conducted on two standard data sets (DUC 2006 and DUC 2007), shows that the proposed model gives convincing results. In the second step, we reuse the stock price prediction framework implemented in the sentiment analysis. The summarization model generates summaries from news articles, which are then evaluated according to whether they can improve the prediction of stocks daily return. Experiments are conducted on five-year daily Hong Kong Stock Exchange data, with the news reported by FINET. Evaluations are done at individual stock level, sector index level and market index level. Results show that the predictions based on news article summaries outperform the predictions based on full-length articles in both the validation and independent testing sets. Finally, we study the problem whether integrating the information from news and short-term historical prices can help stock price prediction. Previous works focus either on market news purely as exogenous factors that tend to lead the

4 Abstract iii price process, or on the analysis of how past stock price processes can affect future stock returns. Taking one step further, we quantitatively integrate information from both market news and stock prices in order to improve the accuracy of prediction of stock future price return in an intra-day trading context. We present the design and architecture of our approach for market information fusion. By means of multiple kernel learning, the hidden information behind the two sources is effectively extracted, and more importantly, seamlessly integrated rather than simply combined by a single kernel approach. Experiments of comprehensive comparisons between our approach and three baseline methods (which use only one type of information, or naively combine the two sources) have been undertaken on the intra-day tick-by-tick data of the Hong Kong Stock Exchange and market news archives of the same period. It has been shown that for both cross-validation and independent testing, our approach achieves the best results.

5 Contents Abstract Acknowledgements i v 1 Introduction 1 2 Fundamentals of News Impact Analysis Sentiment Analysis Sentiment Analysis in Finance Domain Sentiment Analysis in Computer Science Domain Summarization Summarization Models Summary Evaluation Machine Learning in Stock Prediction Traditional Approaches Multiple Kernel Learning News Impact on Stock Prediction via Sentiment Analysis Introduction Sentiment Analysis on News Impact Stock Universe Data Set Sentiment Dictionary The Generic Framework A Running Case

6 viii Contents 3.3 Experiment Results and Discussion Experiment Setup Threshold in the Labelling Method Individual Stock Level Comparison Sector Index Level Comparison Market Index Level Comparison Summary News Impact on Stock Prediction via Summarization Analysis Introduction Self-Present Sentence Relevance Model Model Formulation Algorithm Convergence Example Experiment and Discussions Evaluation of SPSR Experiment for News Impact Analysis via SPSR Summary News Impact on Stock Prediction via Information Fusion Introduction System Architecture and Design Information Sources Preprocess News Articles Preprocess Historical Prices Align News Articles and Prices Normalization Model training Experimental Results and Discussions Data Sets

7 Contents ix Parameter selection Experimental results and findings Summary Conclusion and Future Work Conclusion Future Work Bibliography 89 List of Publications 101

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