TY - GEN
T1 - Good news
T2 - 11th European Conference on Genetic Programming, EuroGP 2008
AU - Larkin, Fiacc
AU - Ryan, Conor
PY - 2008
Y1 - 2008
N2 - This paper introduces a new data set for use in the financial prediction domain, that of quantified News Sentiment. This data is automatically generated in real time from the Dow Jones network with news stories being classified as either Positive, Negative or Neutral in relation to a particular market or sector of interest. We show that with careful consideration to fitness function and data representation, GP can be used effectively to find non-linear solutions for predicting large intraday price jumps on the S&P 500 up to an hour before they occur. The results show that GP was successfully able to predict stock price movement using these news alone, that is, without access to even current market price.
AB - This paper introduces a new data set for use in the financial prediction domain, that of quantified News Sentiment. This data is automatically generated in real time from the Dow Jones network with news stories being classified as either Positive, Negative or Neutral in relation to a particular market or sector of interest. We show that with careful consideration to fitness function and data representation, GP can be used effectively to find non-linear solutions for predicting large intraday price jumps on the S&P 500 up to an hour before they occur. The results show that GP was successfully able to predict stock price movement using these news alone, that is, without access to even current market price.
UR - http://www.scopus.com/inward/record.url?scp=47249102998&partnerID=8YFLogxK
U2 - 10.1007/978-3-540-78671-9_5
DO - 10.1007/978-3-540-78671-9_5
M3 - Conference contribution
AN - SCOPUS:47249102998
SN - 3540786708
SN - 9783540786702
T3 - Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
SP - 49
EP - 60
BT - Genetic Programming - 11th European Conference, EuroGP 2008, Proceedings
Y2 - 26 March 2008 through 28 March 2008
ER -