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dc.contributor.author
Gálvez, Ramiro Heraclio
dc.contributor.author
Gravano, Agustin
dc.date.available
2018-09-18T14:59:31Z
dc.date.issued
2017-03
dc.identifier.citation
Gálvez, Ramiro Heraclio; Gravano, Agustin; Assessing the usefulness of online message board mining in automatic stock prediction systems; Elsevier Science; Journal of Computational Science; 19; 3-2017; 43-56
dc.identifier.issn
1877-7503
dc.identifier.uri
http://hdl.handle.net/11336/60065
dc.description.abstract
We provide evidence of the usefulness of exploiting online text data in stock prediction systems. We do this by mining a popular Argentinian stock message board and empirically answering two questions. First, is there information in the online stock message board useful for predicting stock returns? Second, if useful information is found, is it novel or it is simply a different way of expressing information already available in the past behavior of stock prices? To address these questions, we build and validate a series of predictive models using state-of-the-art machine learning and topic discovery techniques. Running experiments in which the models are trained with different combinations of features extracted from the past behavior of stock prices, or mined from the online message boards. Evidence suggests that it is possible to extract predictive information from stock message boards. Furthermore, we find that adding this information improves the performance of classification systems trained solely on technical indicators. Our results suggest that information from online text data is complementary to the one available in the past evolution of stock prices. Additionally, we find that highly predictive features derived from the message board data seem to have an important and relevant semantic content.
dc.format
application/pdf
dc.language.iso
eng
dc.publisher
Elsevier Science
dc.rights
info:eu-repo/semantics/openAccess
dc.rights.uri
https://creativecommons.org/licenses/by-nc-nd/2.5/ar/
dc.subject
LATENT SEMANTIC ANALYSIS
dc.subject
RANDOM FOREST
dc.subject
RIDGE REGRESSION
dc.subject
STOCK MARKET
dc.subject
TEXT MINING
dc.subject.classification
Ciencias de la Computación
dc.subject.classification
Ciencias de la Computación e Información
dc.subject.classification
CIENCIAS NATURALES Y EXACTAS
dc.title
Assessing the usefulness of online message board mining in automatic stock prediction systems
dc.type
info:eu-repo/semantics/article
dc.type
info:ar-repo/semantics/artículo
dc.type
info:eu-repo/semantics/publishedVersion
dc.date.updated
2018-09-17T19:38:01Z
dc.journal.volume
19
dc.journal.pagination
43-56
dc.journal.pais
Estados Unidos
dc.journal.ciudad
Nueva York
dc.description.fil
Fil: Gálvez, Ramiro Heraclio. Universidad de Buenos Aires. Facultad de Ciencias Exactas y Naturales. Departamento de Computación; Argentina
dc.description.fil
Fil: Gravano, Agustin. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Ciudad Universitaria. Instituto de Investigación En Ciencias de la Computación. Universidad de Buenos Aires. Facultad de Ciencias Exactas y Naturales. Instituto de Investigación En Ciencias de la Computacion; Argentina. Universidad de Buenos Aires. Facultad de Ciencias Exactas y Naturales. Departamento de Computación; Argentina
dc.journal.title
Journal of Computational Science
dc.relation.alternativeid
info:eu-repo/semantics/altIdentifier/doi/http://dx.doi.org/10.1016/j.jocs.2017.01.001
dc.relation.alternativeid
info:eu-repo/semantics/altIdentifier/url/https://www.sciencedirect.com/science/article/pii/S1877750317300091
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