An automated framework for incorporating news into stock trading strategies

W. Nuij, D.V. Milea, F.P. Hogenboom, F. Frasincar, U. Kaymak

Onderzoeksoutput: Bijdrage aan tijdschriftTijdschriftartikelAcademicpeer review

45 Citaten (Scopus)
4 Downloads (Pure)

Samenvatting

In this paper we present a framework for automatic exploitation of news in stock trading strategies. Events are extracted from news messages presented in free text without annotations. We test the introduced framework by deriving trading strategies based on technical indicators and impacts of the extracted events. The strategies take the form of rules that combine technical trading indicators with a news variable, and are revealed through the use of genetic programming. We find that the news variable is often included in the optimal trading rules, indicating the added value of news for predictive purposes and validating our proposed framework for automatically incorporating news in stock trading strategies.
Originele taal-2Engels
Pagina's (van-tot)823-835
Aantal pagina's13
TijdschriftIEEE Transactions on Knowledge and Data Engineering
Volume26
Nummer van het tijdschrift4
DOI's
StatusGepubliceerd - 2014

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