Research Area:  Machine Learning

Abstract:

News from traditional media has been used to facilitate the prediction of stock movement for a long time. However, in recent times, online social networks (OSN) have played an increasing significant role as a platform for information sharing. News content posted on these OSN provides very useful insight about public moods. In this paper, we carefully select official accounts from Chinas largest online social networks — Sina Weibo and analyze the news content crawled from these accounts by extracting sentiment features and Latent Dirichlet allocation (LDA) features. We then input these features together with technical indicators into a novel hybrid model called RNN-boost to predict the stock volatility in the Chinese stock market. The Shanghai-Shenzhen 300 Stock Index (HS300) is the use case for this research. Experimental results show that our model outperforms other prevalent methods and can achieve a good prediction performance.

Keywords:  
Social Media News
Stock Index
Rnn-Boost
Machine Learning
Deep Learning

Author(s) Name:  WeilingChen,Chai KiatYeo,Chiew TongLau and Bu SungLee

Publisher name:  ELSEVIER

DOI:  10.1016/j.datak.2018.08.003

Volume Information:  Volume 118, November 2018, Pages 14-24

Paper Link:   https://www.sciencedirect.com/science/article/abs/pii/S0169023X17305839