C4.5: programs for machine learning
C4.5: programs for machine learning
The nature of statistical learning theory
The nature of statistical learning theory
Forecasting Intraday Stock Price Trends with Text Mining Techniques
HICSS '04 Proceedings of the Proceedings of the 37th Annual Hawaii International Conference on System Sciences (HICSS'04) - Track 3 - Volume 3
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The efficient market hypothesis states that investors immediately incorporate all available information into the price of an asset to accurately reflect its value at any given time. The sheer volume of information immediately available electronically makes it difficult for a single investor to keep abreast of all information for a single stock, let alone multiple. We aim to determine how quickly investors tend to react to asset specific news by analysing the accuracy of classifiers which take the content of news to predict the short-term market reaction. The faster the market reacts to news the more cost-effective it becomes to employ content analysis techniques to aid the decisions of traders. We find that the best results are achieved by allowing investors in the US 90 minutes to react to news. In the UK and Australia the best results are achieved by allowing investors 5 minutes to react to news.