Predicting the Short-Term Market Reaction to Asset Specific News: Is Time Against Us?
(2007) Predicting the Short-Term Market Reaction to Asset Specific News: Is Time Against Us?. In Huang, Joshua Zhexue and Ye, Yunming, Eds. Proceedings Industry Track Workshop, 11th Pacific-Asia Conference on Knowledge Discovery and Data Mining (PAKDD 2007), pages pp. 1-13, Nanjing, China.
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Abstract
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.
| Item Type: | Conference Paper |
|---|---|
| Status: | Unpublished |
| Keywords: | Document Classification; Stock Market; News; SVM; C4.5 |
| Subjects: | 340000 Economics > 340400 Econometrics > 340401 Economic Models and Forecasting 280000 Information, Computing and Communication Sciences > 280200 Artificial Intelligence and Signal and Image Processing > 280213 Other Artificial Intelligence |
| ID Code: | 8110 |
| Deposited By: | Robertson, Calum |
| Deposited On: | 18 June 2007 |
| Alternative Locations: | http://www.goingtomeet.com/conventions/details/2410 |
| Copyright Owner: | Copyright 2007 the authors |
| Additional Information: | For more information, please contact the author. Author contact details: s.geva@qut.edu.au |