Stock prediction via sentimental transfer learning

Xiaodong LI, Haoran XIE, Raymond Y. K. LAU, Tak Lam WONG, Fu-Lee WANG

Research output: Contribution to journalArticles

4 Citations (Scopus)

Abstract

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, 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 the approach, financial news articles of both the source and target stocks are firstly mapped into the same feature space that is constructed by sentiment dimensions. Secondly, 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; 3) the source stock has the highest prediction performance in validation data set. Thirdly, 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 (year 2003-2008). 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. Copyright © 2018 IEEE.
Original languageEnglish
Pages (from-to)73110-73118
JournalIEEE Access
Volume6
Early online dateNov 2018
DOIs
Publication statusPublished - Dec 2018

Citation

Li, X., Xie, H., Lau, R. Y. K., Wong, T.-L., & Wang, F.-L. (2018). Stock prediction via sentimental transfer learning. IEEE Access, 6, 73110-73118. doi: 10.1109/ACCESS.2018.2881689

Keywords

  • Sentiment analysis
  • Stock prediction
  • Transfer learning

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