Stock price prediction using news factor correlation model
Refereed conference paper presented and published in conference proceedings

CUHK Authors
Author(s) no longer affiliated with CUHK


Full Text

Times Cited
Web of Science0WOS source URL (as at 03/08/2020) Click here for the latest count

Other information
AbstractA generalized "news" factor correlation model is devised from n-factor model, "news" model and continuous varied correlation coefficients. It is developed to improve the accuracy of stock price prediction by considering correlation coefficient for n-factor and "news" models. This model was tested using the GEM stocks and NASDAQ index with linear regression model and Adaline neural network model. 0-factor model, "news" factor model and "news" factor correlation model were examined with in-sample training and out-of-sample testing. Experimental results showed that "news" factor correlation model outperformed the other models in in-sample training.
All Author(s) ListNg HS, Lam KP
Name of Conference7th Joint Conference on Information Sciences (JCIS)
Start Date of Conference26/09/2003
End Date of Conference30/09/2003
Place of ConferenceRES TRIANGLE PK
Country/Region of ConferenceUnited States of America
Year2003
Month1
Day1
PublisherASSOC INTELLIGENT MACHINERY
Pages1071 - 1074
ISBN0-9707890-2-5
LanguagesEnglish-United Kingdom
Keywordsn-factor model; neural networks; news model
Web of Science Subject CategoriesComputer Science; Computer Science, Artificial Intelligence; Computer Science, Information Systems; Computer Science, Interdisciplinary Applications; Computer Science, Theory & Methods

Last updated on 2020-04-08 at 05:17