Stock prediction is always an attractive problem. With the expansion of information sources, news-driven stock prediction based on sentiments of social media, such as sentiment polarities in financial news, becomes more and more popular. However, the distributions of news articles among different stocks are skewed, which makes stocks with few news have few training samples for their prediction models, and thus leads to low prediction accuracy in the stock predictions. To address this problem, we propose sentimental transfer learning, which transfers sentimental information learned from news-rich stocks (source) to the news-poor ones (target), and prediction performances of the later ones are, therefore, improved. In this approach, the financial news articles of both the source and target stocks are first mapped into the same feature space that is constructed by sentiment dimensions. Second, we develop three different transfer principles in order to explore different transfer scenarios: 1) the source and target stocks' historical price time series are highly correlated; 2) the source and target stocks are in the same sector and the former is the most news-rich one in the sector; and 3) the source stock has the highest prediction performance in validation data set. Third, a majority voting mechanism is designed based on the principles. The voting mechanism is to select the most proper source stock from the candidate stocks that are generated by different principles. Stock predictions are finally made based on the prediction models trained on the selected stocks. Experiments are conducted based on the data of Hong Kong Stock Exchange stocks from 2003 to 2008. The empirical results show that sentiment transfer learning can improve the prediction performance of the target stocks, and the performances are better and more stable with the source stocks selected by the voting mechanism.
|Number of pages||9|
|Publication status||Published - 16 Nov 2018|
Bibliographical noteThis paper was presented at the BigComp 2017 (extend from 2 pages to 8 pages). Some contents from the conference version are re-used in this journal article. The new contents of this article are more than 30% according to the regulation of the published journal, which can be summarized in the following aspects: 1) development of different transfer principles; 2) a majority voting mechanism based on transfer principles; and 3) experiments from more perspectives are conducted to test the transfer principles.
- Sentiment analysis
- stock prediction
- transfer learning