Construction of Chinese A-shares Network Using Latent Dirichlet Allocation

  • Authors:

  • Mingmin Chi;Jun Liu;Huijun He;Jiangfeng Bao;Yangyong Zhu

  • Affiliations:

  • -;-;-;-;-

  • Venue:
  • WI-IAT '12 Proceedings of the The 2012 IEEE/WIC/ACM International Joint Conferences on Web Intelligence and Intelligent Agent Technology - Volume 01
  • Year:
  • 2012

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Abstract

Currently, there are more than 2,400 stocks in Chinese A-shares market and there is almost one IPO share coming into the emerging market per day. The rapid growth of Chinese stock market makes investors difficult to manage portfolio. In the paper, a Chinese A-shares Network (CAN) is constructed using a topic model (i.e., Latent Dirichlet Allocation) to efficiently divide all the A-shares to individual sectors in a probabilistic way in terms of the Business Scope Descriptions (BSD) of the listed companies until December 31, 2011. In the meanwhile, a novel visualization profile is proposed to friendly show stock-sectors relationships. Experimental results validate the effectiveness of the CAN system: the stocks in the same ``sector" defined by the CAN have higher pair wise correlations than those by the experts.