摘要翻译:
我们展示了如何使用支持向量机来预测金融资产的日内价格波动。采用多核学习将股票收益率与文本作为预测特征相结合来提高分类性能,并提出了解析中心切割平面方法来有效地解决核学习问题。我们观察到,虽然使用文本或返回都不能预测返回的方向,但它们的大小是可预测的,文本特征比单独使用历史返回产生的性能要好得多。
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英文标题:
《Predicting Abnormal Returns From News Using Text Classification》
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作者:
Ronny Luss, Alexandre d'Aspremont
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最新提交年份:
2009
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分类信息:
一级分类:Computer Science 计算机科学
二级分类:Machine Learning 机器学习
分类描述:Papers on all aspects of machine learning research (supervised, unsupervised, reinforcement learning, bandit problems, and so on) including also robustness, explanation, fairness, and methodology. cs.LG is also an appropriate primary category for applications of machine learning methods.
关于机器学习研究的所有方面的论文(有监督的,无监督的,强化学习,强盗问题,等等),包括健壮性,解释性,公平性和方法论。对于机器学习方法的应用,CS.LG也是一个合适的主要类别。
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一级分类:Computer Science 计算机科学
二级分类:Artificial Intelligence 人工智能
分类描述:Covers all areas of AI except Vision, Robotics, Machine Learning, Multiagent Systems, and Computation and Language (Natural Language Processing), which have separate subject areas. In particular, includes Expert Systems, Theorem Proving (although this may overlap with Logic in Computer Science), Knowledge Representation, Planning, and Uncertainty in AI. Roughly includes material in ACM Subject Classes I.2.0, I.2.1, I.2.3, I.2.4, I.2.8, and I.2.11.
涵盖了人工智能的所有领域,除了视觉、机器人、机器学习、多智能体系统以及计算和语言(自然语言处理),这些领域有独立的学科领域。特别地,包括专家系统,定理证明(尽管这可能与计算机科学中的逻辑重叠),知识表示,规划,和人工智能中的不确定性。大致包括ACM学科类I.2.0、I.2.1、I.2.3、I.2.4、I.2.8和I.2.11中的材料。
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英文摘要:
We show how text from news articles can be used to predict intraday price movements of financial assets using support vector machines. Multiple kernel learning is used to combine equity returns with text as predictive features to increase classification performance and we develop an analytic center cutting plane method to solve the kernel learning problem efficiently. We observe that while the direction of returns is not predictable using either text or returns, their size is, with text features producing significantly better performance than historical returns alone.
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PDF链接:
https://arxiv.org/pdf/0809.2792