Stock Prediction: a method based on extraction of news features and recurrent neural networks

Zeya Zhang, Weizheng Chen and Hongfei Yan

Papers from arXiv.org

Abstract: This paper proposed a method for stock prediction. In terms of feature extraction, we extract the features of stock-related news besides stock prices. We first select some seed words based on experience which are the symbols of good news and bad news. Then we propose an optimization method and calculate the positive polar of all words. After that, we construct the features of news based on the positive polar of their words. In consideration of sequential stock prices and continuous news effects, we propose a recurrent neural network model to help predict stock prices. Compared to SVM classifier with price features, we find our proposed method has an over 5% improvement on stock prediction accuracy in experiments.

Date: 2017-07
New Economics Papers: this item is included in nep-big, nep-cmp, nep-ecm, nep-fmk and nep-for
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1707.07585

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