Volume 12 Number 6 (Nov. 2017)
Home > Archive > 2017 > Volume 12 Number 6 (Nov. 2017) >
JCP 2017 Vol.12(6): 500-510 ISSN: 1796-203X
doi: 10.17706/jcp.12.6.500-510

Stock Market Forecasting Based on Text Mining Technology: A Support Vector Machine Method

Yancong Xie1, 2, Hongxun Jiang2
1Information Systems School, Queensland University of Technology, Brisbane, Australia & School of Information, Renmin University of China, Beijing, China.
2School of Information, Renmin University of China, Beijing, China.

Abstract—News items have significant impact on stock markets but the ways is obscure. Many previous works have aimed at finding accurate stock market forecasting models. In this paper, we use text mining and sentiment analysis on Chinese online financial news, to predict Chinese stock tendency and stock prices based on support vector machine (SVM). Firstly, we collect 2,302,692 news items, which date from 1/1/2008 to 1/1/2015. Secondly, based on this dataset, a specific domain stop-word dictionary and a precise sentiment dictionary are formed. Thirdly, we propose a forecasting model using SVM. On the algorithm of SVM implementation, we also propose two parameter optimization algorithms to search for best initial parameter setting. Result shows that parameter G has the main effect, while parameter C’s effect is not obvious. Furthermore, support vector regression (SVR) models for different Chinese stocks are similar whereas in support vector classification (SVC) models best parameters are quite differential. Series of contrast experiments show that: a) News has significant influence on stock market; b) Expansion input vector for additional situations when that day has no news data is better than normal input in SVR, yet is worse in SVC; c) SVR shows a fantastic degree of fitting in predicting stock fluctuation while such result has some time lag; d) News effect time lag for stock market is less than two days; e) In SVC, historic stock data has a most efficient time lag which is about 10 days, whereas in SVR this effect is not obvious. In addition, based on the special structure of the input vector, we also design a method to calculate the financial source impact factor. Result suggests that the news quality and audience number both have significant effect on the source impact factor. Besides, for Chinese investors, traditional media has more influence than digital media.

Index Terms—Impact factor, parameter optimization, support vector machine, stock market, text mining.


Cite: Yancong Xie, Hongxun Jiang, "Stock Market Forecasting Based on Text Mining Technology: A Support Vector Machine Method," Journal of Computers vol. 12, no. 6, pp. 500-510, 2017.

General Information

ISSN: 1796-203X
Frequency: Monthly (2006-2014); Bimonthly (Since 2015)
Editor-in-Chief: Prof. Liansheng Tan
Executive Editor: Ms. Nina Lee
Abstracting/ Indexing: DBLP, EBSCO,  ProQuest, INSPEC, ULRICH's Periodicals Directory, WorldCat, CNKI,etc
E-mail: jcp@iap.org
  • Apr 24, 2018 News!

    Vol 13, No 8 has been published with online version   [Click]

  • Dec 26, 2017 News!

    Vol 12, No 1-N0 5 has been indexed by EI (Inspec)     [Click]

  • Dec 26, 2017 News!

    Vol 11, No 4-N0 6 has been indexed by EI (Inspec)     [Click]

  • Dec 21, 2017 News!

    Vol 13, No 7 has been published with online version 12 papers are published in this issue after peer review   [Click]

  • Sep 26, 2017 News!

    Papers published in JCP Volume 12 have all been indexed by DBLP   [Click]

  • Read more>>