TY - GEN
T1 - Tensor-based learning for predicting stock movements
AU - Li, Qing
AU - Jiang, Li Ling
AU - Li, Ping
AU - Chen, Hsinchun
N1 - Publisher Copyright:
© Copyright 2015, Association for the Advancement of Artificial Intelligence (www.aaai.org). All rights reserved.
PY - 2015/6/1
Y1 - 2015/6/1
N2 - Stock movements are essentially driven by new information. Market data, financial news, and social sentiment are believed to have impacts on stock markets. To study the correlation between information and stock movements, previous works typically concatenate the features of different information sources into one super feature vector. However, such concatenated vector approaches treat each information source separately and ignore their interactions. In this article, we model the multi-faceted investors' information and their intrinsic links with tensors. To identify the nonlinear patterns between stock movements and new information, we propose a supervised tensor regression learning approach to investigate the joint impact of different information sources on stock markets. Experiments on CSI 100 stocks in the year 2011 show that our approach outperforms the state-of-the-art trading strategies.
AB - Stock movements are essentially driven by new information. Market data, financial news, and social sentiment are believed to have impacts on stock markets. To study the correlation between information and stock movements, previous works typically concatenate the features of different information sources into one super feature vector. However, such concatenated vector approaches treat each information source separately and ignore their interactions. In this article, we model the multi-faceted investors' information and their intrinsic links with tensors. To identify the nonlinear patterns between stock movements and new information, we propose a supervised tensor regression learning approach to investigate the joint impact of different information sources on stock markets. Experiments on CSI 100 stocks in the year 2011 show that our approach outperforms the state-of-the-art trading strategies.
UR - http://www.scopus.com/inward/record.url?scp=84959885179&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84959885179&partnerID=8YFLogxK
M3 - Conference contribution
AN - SCOPUS:84959885179
T3 - Proceedings of the National Conference on Artificial Intelligence
SP - 1784
EP - 1790
BT - Proceedings of the 29th AAAI Conference on Artificial Intelligence, AAAI 2015 and the 27th Innovative Applications of Artificial Intelligence Conference, IAAI 2015
PB - AI Access Foundation
T2 - 29th AAAI Conference on Artificial Intelligence, AAAI 2015 and the 27th Innovative Applications of Artificial Intelligence Conference, IAAI 2015
Y2 - 25 January 2015 through 30 January 2015
ER -