Title :
NewsCATS: A News Categorization and Trading System
Author :
Mittermayer, Marc-André ; Knolmayer, Gerhard F.
Author_Institution :
Swiss Capital Group, Zurich
Abstract :
NewsCATS is an automated text categorization (ATC) prototype using a hand-made thesaurus to forecast intraday stock price trends from information contained in press releases. Due to a unique labeling approach and by carefully selecting the appropriate training data NewsCATS achieves a performance which is clearly superior to other ATC prototypes used for stock price trend forecasting. In this paper we describe the architecture, training, and testing of NewsCATS as well as the results of an extensive robustness analysis.
Keywords :
pricing; stock markets; text analysis; thesauri; NewsCATS; automated text categorization; hand-made thesaurus; intraday stock price forecast; news categorization; trading system; Economic forecasting; Engines; Frequency; Labeling; Prototypes; Testing; Text categorization; Thesauri; Training data; Vectors;
Conference_Titel :
Data Mining, 2006. ICDM '06. Sixth International Conference on
Conference_Location :
Hong Kong
Print_ISBN :
0-7695-2701-7
DOI :
10.1109/ICDM.2006.115
