An Automated Framework for Incorporating News into Stock Trading Strategies
In this paper we present a framework for automatic exploitation of news in stock trading strategies. Events are extracted from news messages presented in free text without annotations. We test the introduced framework by deriving trading strategies based on technical indicators and impacts of the ex...
Uloženo v:
| Vydáno v: | IEEE transactions on knowledge and data engineering Ročník 26; číslo 4; s. 823 - 835 |
|---|---|
| Hlavní autoři: | , , , , |
| Médium: | Journal Article |
| Jazyk: | angličtina |
| Vydáno: |
New York
IEEE
01.04.2014
The Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
| Témata: | |
| ISSN: | 1041-4347, 1558-2191 |
| On-line přístup: | Získat plný text |
| Tagy: |
Přidat tag
Žádné tagy, Buďte první, kdo vytvoří štítek k tomuto záznamu!
|
| Abstract | In this paper we present a framework for automatic exploitation of news in stock trading strategies. Events are extracted from news messages presented in free text without annotations. We test the introduced framework by deriving trading strategies based on technical indicators and impacts of the extracted events. The strategies take the form of rules that combine technical trading indicators with a news variable, and are revealed through the use of genetic programming. We find that the news variable is often included in the optimal trading rules, indicating the added value of news for predictive purposes and validating our proposed framework for automatically incorporating news in stock trading strategies. |
|---|---|
| AbstractList | In this paper we present a framework for automatic exploitation of news in stock trading strategies. Events are extracted from news messages presented in free text without annotations. We test the introduced framework by deriving trading strategies based on technical indicators and impacts of the extracted events. The strategies take the form of rules that combine technical trading indicators with a news variable, and are revealed through the use of genetic programming. We find that the news variable is often included in the optimal trading rules, indicating the added value of news for predictive purposes and validating our proposed framework for automatically incorporating news in stock trading strategies. In this paper we present a framework for automatic exploitation of news in stock trading strategies. Events are extracted from news messages presented in free text without annotations. We test the introduced framework by deriving trading strategies based on technical indicators and impacts of the extracted events. The strategies take the form of rules that combine technical trading indicators with a news variable, and are revealed through the use of genetic programming. We find that the news variable is often included in the optimal trading rules, indicating the added value of news for predictive purposes and validating our proposed framework for automatically incorporating news in stock trading strategies. [PUBLICATION ABSTRACT] |
| Author | Nuij, Wijnand Hogenboom, Frederik Milea, Viorel Frasincar, Flavius Kaymak, Uzay |
| Author_xml | – sequence: 1 givenname: Wijnand surname: Nuij fullname: Nuij, Wijnand email: nuij@semlab.nl organization: Semlab, Alphen a/d Rijn, Netherlands – sequence: 2 givenname: Viorel surname: Milea fullname: Milea, Viorel email: milea@ese.eur.nl organization: Erasmus Sch. of Econ., Erasmus Univ. Rotterdam, Rotterdam, Netherlands – sequence: 3 givenname: Frederik surname: Hogenboom fullname: Hogenboom, Frederik email: fhogenboom@ese.eur.nl organization: Erasmus Sch. of Econ., Erasmus Univ. Rotterdam, Rotterdam, Netherlands – sequence: 4 givenname: Flavius surname: Frasincar fullname: Frasincar, Flavius email: frasincar@ese.eur.nl organization: Erasmus Sch. of Econ., Erasmus Univ. Rotterdam, Rotterdam, Netherlands – sequence: 5 givenname: Uzay surname: Kaymak fullname: Kaymak, Uzay email: u.kaymak@ieee.org organization: Dept. of Ind. Eng. & Innovation Sci., Eindhoven Univ. of Technol., Eindhoven, Netherlands |
| BookMark | eNp1kL1PwzAQxS1UJNrCyMRiiTnFjuPEGavSQtUKhpbZcpxLlX7YxXZV8d_jqIgBielOp9_de_cGqGesAYTuKRlRSsqn9eJ5OkoJZSPK2BXqU85FktKS9mJPMppkLCtu0MD7LSFEFIL20WJs8PgU7EEFqPHMqQOcrdvhxjo8N9q6o3UqtGaD3-DscWuCxatg9Q6vnaq7-SpEADYt-Ft03ai9h7ufOkQfs-l68pos31_mk_Ey0angIaGkyXVaA6-1qFJR8Vwzwhgrcl2CYNFWCk1RsawUvKpUXtJGiKIqlQIWXadsiB4vd4_Ofp7AB7m1J2eipKSclDwXRU4ilVwo7az3Dhp5dO1BuS9Jiezykl1esstLxrwiz_7wug3xdWvig-3-362Hy1YLAL8KOS8ykTH2DerGeBM |
| CODEN | ITKEEH |
| CitedBy_id | crossref_primary_10_1016_j_eneco_2020_104815 crossref_primary_10_1016_j_knosys_2020_106492 crossref_primary_10_1016_j_elerap_2018_02_006 crossref_primary_10_1016_j_eswa_2024_124787 crossref_primary_10_1016_j_eswa_2021_115568 crossref_primary_10_1109_JIOT_2021_3085714 crossref_primary_10_1016_j_csl_2024_101702 crossref_primary_10_1016_j_eswa_2021_114632 crossref_primary_10_1109_ACCESS_2020_3037681 crossref_primary_10_1109_ACCESS_2021_3119041 crossref_primary_10_1007_s00766_025_00436_7 crossref_primary_10_1109_TCYB_2015_2410143 crossref_primary_10_1109_TSMC_2018_2864942 crossref_primary_10_1016_j_eswa_2022_116506 crossref_primary_10_7717_peerj_cs_490 crossref_primary_10_1007_s11042_022_12181_y crossref_primary_10_1016_j_jcomm_2021_100194 crossref_primary_10_1007_s00500_019_04400_w crossref_primary_10_3390_math9243319 crossref_primary_10_1007_s40747_021_00450_6 crossref_primary_10_1111_acfi_12466 crossref_primary_10_1016_j_engappai_2024_108533 crossref_primary_10_1080_17517575_2018_1493145 crossref_primary_10_1109_ACCESS_2019_2932789 crossref_primary_10_1109_TKDE_2020_2968894 crossref_primary_10_7717_peerj_cs_438 crossref_primary_10_1016_j_neucom_2020_07_108 crossref_primary_10_1109_ACCESS_2019_2956831 crossref_primary_10_17721_2706_9699_2025_1_08 crossref_primary_10_1016_j_eswa_2015_08_008 crossref_primary_10_1016_j_patrec_2016_11_004 crossref_primary_10_1109_TASLP_2023_3304473 crossref_primary_10_1145_2948072 crossref_primary_10_3390_electronics12132981 crossref_primary_10_1007_s10618_019_00671_x crossref_primary_10_1007_s10660_021_09467_y crossref_primary_10_1145_3419372 crossref_primary_10_1080_03081079_2024_2409748 crossref_primary_10_3390_math10142437 |
| Cites_doi | 10.1504/IJWET.2010.038242 10.1111/j.1540-6261.1981.tb04888.x 10.1504/IJWET.2012.045765 10.1016/j.dss.2006.12.011 10.1016/0165-4101(89)90015-3 10.1287/mnsc.1070.0704 10.1016/j.dss.2005.11.002 10.5117/mab.74.20955 10.2307/2329211 10.1016/S0304-405X(03)00146-6 10.1093/rfs/15.2.489 10.1109/TSMCB.2011.2162582 10.1016/S0167-9236(03)00091-5 10.1111/1540-6261.00575 10.1086/499146 10.1109/CIFEr.2012.6327787 10.1111/j.1540-6261.2007.01232.x 10.1016/j.dss.2010.07.012 10.1016/0304-405X(88)90054-2 10.1109/ICWE.2008.10 10.1111/j.1540-6261.2008.01362.x 10.1111/j.1540-6261.1995.tb04796.x 10.1007/978-3-642-04329-1_11 10.2307/2331235 10.1016/S0167-9236(01)00121-X 10.1111/j.1540-6261.2006.00831.x 10.1016/j.websem.2012.01.002 |
| ContentType | Journal Article |
| Copyright | Copyright The Institute of Electrical and Electronics Engineers, Inc. (IEEE) Apr 2014 |
| Copyright_xml | – notice: Copyright The Institute of Electrical and Electronics Engineers, Inc. (IEEE) Apr 2014 |
| DBID | 97E RIA RIE AAYXX CITATION 7SC 7SP 8FD JQ2 L7M L~C L~D |
| DOI | 10.1109/TKDE.2013.133 |
| DatabaseName | IEEE All-Society Periodicals Package (ASPP) 2005–Present IEEE All-Society Periodicals Package (ASPP) 1998–Present IEEE Xplore Digital Library CrossRef Computer and Information Systems Abstracts Electronics & Communications Abstracts Technology Research Database ProQuest Computer Science Collection Advanced Technologies Database with Aerospace Computer and Information Systems Abstracts Academic Computer and Information Systems Abstracts Professional |
| DatabaseTitle | CrossRef Technology Research Database Computer and Information Systems Abstracts – Academic Electronics & Communications Abstracts ProQuest Computer Science Collection Computer and Information Systems Abstracts Advanced Technologies Database with Aerospace Computer and Information Systems Abstracts Professional |
| DatabaseTitleList | Technology Research Database |
| Database_xml | – sequence: 1 dbid: RIE name: IEEE Electronic Library (IEL) url: https://ieeexplore.ieee.org/ sourceTypes: Publisher |
| DeliveryMethod | fulltext_linktorsrc |
| Discipline | Engineering Computer Science |
| EISSN | 1558-2191 |
| EndPage | 835 |
| ExternalDocumentID | 3254851551 10_1109_TKDE_2013_133 6574843 |
| Genre | orig-research |
| GroupedDBID | -~X .DC 0R~ 1OL 29I 4.4 5GY 5VS 6IK 97E 9M8 AAJGR AARMG AASAJ AAWTH ABAZT ABFSI ABQJQ ABVLG ACGFO ACIWK AENEX AETIX AGQYO AGSQL AHBIQ AI. AIBXA AKJIK AKQYR ALLEH ALMA_UNASSIGNED_HOLDINGS ASUFR ATWAV BEFXN BFFAM BGNUA BKEBE BPEOZ CS3 DU5 E.L EBS EJD F5P HZ~ H~9 ICLAB IEDLZ IFIPE IFJZH IPLJI JAVBF LAI M43 MS~ O9- OCL P2P PQQKQ RIA RIE RNI RNS RXW RZB TAE TAF TN5 UHB VH1 AAYXX CITATION 7SC 7SP 8FD JQ2 L7M L~C L~D RIG |
| ID | FETCH-LOGICAL-c285t-10f6c2de5dc8b28b56c3033376c9e837812ef7b34985bba691f887b9aae308723 |
| IEDL.DBID | RIE |
| ISICitedReferencesCount | 61 |
| ISICitedReferencesURI | http://www.webofscience.com/api/gateway?GWVersion=2&SrcApp=Summon&SrcAuth=ProQuest&DestLinkType=CitingArticles&DestApp=WOS_CPL&KeyUT=000333532800004&url=https%3A%2F%2Fcvtisr.summon.serialssolutions.com%2F%23%21%2Fsearch%3Fho%3Df%26include.ft.matches%3Dt%26l%3Dnull%26q%3D |
| ISSN | 1041-4347 |
| IngestDate | Sun Jun 29 16:31:03 EDT 2025 Sat Nov 29 04:46:36 EST 2025 Tue Nov 18 22:26:24 EST 2025 Wed Aug 27 02:52:17 EDT 2025 |
| IsPeerReviewed | true |
| IsScholarly | true |
| Issue | 4 |
| Language | English |
| License | https://ieeexplore.ieee.org/Xplorehelp/downloads/license-information/IEEE.html |
| LinkModel | DirectLink |
| MergedId | FETCHMERGED-LOGICAL-c285t-10f6c2de5dc8b28b56c3033376c9e837812ef7b34985bba691f887b9aae308723 |
| Notes | ObjectType-Article-1 SourceType-Scholarly Journals-1 ObjectType-Feature-2 content type line 14 |
| PQID | 1509568760 |
| PQPubID | 85438 |
| PageCount | 13 |
| ParticipantIDs | proquest_journals_1509568760 crossref_primary_10_1109_TKDE_2013_133 crossref_citationtrail_10_1109_TKDE_2013_133 ieee_primary_6574843 |
| PublicationCentury | 2000 |
| PublicationDate | 2014-04-01 |
| PublicationDateYYYYMMDD | 2014-04-01 |
| PublicationDate_xml | – month: 04 year: 2014 text: 2014-04-01 day: 01 |
| PublicationDecade | 2010 |
| PublicationPlace | New York |
| PublicationPlace_xml | – name: New York |
| PublicationTitle | IEEE transactions on knowledge and data engineering |
| PublicationTitleAbbrev | TKDE |
| PublicationYear | 2014 |
| Publisher | IEEE The Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
| Publisher_xml | – name: IEEE – name: The Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
| References | ref12 ref15 ref14 ref31 ref11 ref32 ref10 ref2 ref1 ref17 ref16 (ref9) 0 ref19 ref18 ewalds (ref13) 2000 allen (ref27) 1999; 51 (ref22) 0 achelis (ref29) 2000 ref24 ref23 ref26 ref25 ref20 ref21 ref28 ref8 ref7 ref4 ref3 ref6 ref5 koza (ref30) 1992 |
| References_xml | – ident: ref1 doi: 10.1504/IJWET.2010.038242 – ident: ref16 doi: 10.1111/j.1540-6261.1981.tb04888.x – ident: ref25 doi: 10.1504/IJWET.2012.045765 – ident: ref31 doi: 10.1016/j.dss.2006.12.011 – ident: ref15 doi: 10.1016/0165-4101(89)90015-3 – ident: ref3 doi: 10.1287/mnsc.1070.0704 – year: 0 ident: ref22 – ident: ref32 doi: 10.1016/j.dss.2005.11.002 – start-page: 333 year: 2000 ident: ref13 article-title: De Informatiewaarde Van Kwartaalcijfers publication-title: Maandblad voor Accountancy en Bedrijfseconomie doi: 10.5117/mab.74.20955 – ident: ref10 doi: 10.2307/2329211 – ident: ref11 doi: 10.1016/S0304-405X(03)00146-6 – ident: ref18 doi: 10.1093/rfs/15.2.489 – ident: ref26 doi: 10.1109/TSMCB.2011.2162582 – year: 1992 ident: ref30 publication-title: Genetic Programming On the Programming of Computers by Means of Natural Selection – ident: ref8 doi: 10.1016/S0167-9236(03)00091-5 – ident: ref21 doi: 10.1111/1540-6261.00575 – ident: ref17 doi: 10.1086/499146 – ident: ref28 doi: 10.1109/CIFEr.2012.6327787 – ident: ref5 doi: 10.1111/j.1540-6261.2007.01232.x – ident: ref4 doi: 10.1016/j.dss.2010.07.012 – ident: ref14 doi: 10.1016/0304-405X(88)90054-2 – volume: 51 start-page: 245 year: 1999 ident: ref27 article-title: Using Genetic Algorithms to Find Technical Trading Rules publication-title: J Economics – ident: ref23 doi: 10.1109/ICWE.2008.10 – ident: ref6 doi: 10.1111/j.1540-6261.2008.01362.x – ident: ref19 doi: 10.1111/j.1540-6261.1995.tb04796.x – ident: ref24 doi: 10.1007/978-3-642-04329-1_11 – ident: ref12 doi: 10.2307/2331235 – ident: ref7 doi: 10.1016/S0167-9236(01)00121-X – year: 0 ident: ref9 – year: 2000 ident: ref29 publication-title: Technical Analysis From A to Z – ident: ref20 doi: 10.1111/j.1540-6261.2006.00831.x – ident: ref2 doi: 10.1016/j.websem.2012.01.002 |
| SSID | ssj0008781 |
| Score | 2.3599505 |
| Snippet | In this paper we present a framework for automatic exploitation of news in stock trading strategies. Events are extracted from news messages presented in free... |
| SourceID | proquest crossref ieee |
| SourceType | Aggregation Database Enrichment Source Index Database Publisher |
| StartPage | 823 |
| SubjectTerms | Companies Computer applications Context Corporate acquisitions evolutionary computing and genetic algorithms Genetic programming Indexes Information retrieval learning natural language processing Stock markets web text analysis |
| Title | An Automated Framework for Incorporating News into Stock Trading Strategies |
| URI | https://ieeexplore.ieee.org/document/6574843 https://www.proquest.com/docview/1509568760 |
| Volume | 26 |
| WOSCitedRecordID | wos000333532800004&url=https%3A%2F%2Fcvtisr.summon.serialssolutions.com%2F%23%21%2Fsearch%3Fho%3Df%26include.ft.matches%3Dt%26l%3Dnull%26q%3D |
| hasFullText | 1 |
| inHoldings | 1 |
| isFullTextHit | |
| isPrint | |
| journalDatabaseRights | – providerCode: PRVIEE databaseName: IEEE Electronic Library (IEL) customDbUrl: eissn: 1558-2191 dateEnd: 99991231 omitProxy: false ssIdentifier: ssj0008781 issn: 1041-4347 databaseCode: RIE dateStart: 19890101 isFulltext: true titleUrlDefault: https://ieeexplore.ieee.org/ providerName: IEEE |
| link | http://cvtisr.summon.serialssolutions.com/2.0.0/link/0/eLvHCXMwlV3BTsMwDLUG4gAHBgzEYKAcEKd1a5s2TY8TMIGGEBID7VY1qSshoQ6xju8nztoCAg701INbVXbzbCf2M8BZlnmK9tYcxYXrELuJk0qROkohct9Tbm57q55uo7s7OZvF9y3oN70wiGiLz3BAt_YsP5vrJW2VDUVIzJd8DdaiSKx6tRrUlZEdSGqyC5MT8SD65NMcTieXV1TExQce59_8jx2o8gOFrWsZt__3UTuwXYWQbLSy-S60sNiDdj2egVWrdQ-2vnANdmAyKthoWc5NhIoZG9c1WcwEreyGyCwtobERZYR77Lko5-yhNGjJjDsjB8dqIltc7MPj-Gp6ce1UkxQc7cuwNFibC-1nGGZaKl-qUGjjurgBFx0jUcp7PuaR4kEsQ6VSEXu5AR8VpykSY6DPD2C9mBd4CIxngY-xTk0eYi4ZpW4uKQoJvDwUEvMu9Gv9JrqiGadpFy-JTTfcOCFzJGSOxJijC-eN-OuKX-MvwQ7pvhGq1N6FXm28pFp9i8QEudQFGQn36PenjmHTvLeqwOnBevm2xBPY0O_l8-Lt1P5YH-1Dyt8 |
| linkProvider | IEEE |
| linkToHtml | http://cvtisr.summon.serialssolutions.com/2.0.0/link/0/eLvHCXMwlV1LT8MwDLZgIAEHHhuI8cwBcaJb2_SRHidgAm1MSAy0W9WkroSEOsQ6fj9x1hYQcKCnHly1spvPdmJ_BjhLU0fS3poleWBbxG5iJSJILCkRuetIOzO9VU_DcDQSk0l0vwQXdS8MIpriM-zQrTnLT6dqTltl3cAn5ku-DCs0Oavs1qpxV4RmJKnOL3RWxL3wk1GzOx5cXVMZF-84nH_zQGakyg8cNs6lv_W_z9qGzTKIZL2F1XdgCfMmbFUDGli5Xpuw8YVtsAWDXs5682KqY1RMWb-qymI6bGW3RGdpKI21KCPkY895MWUPhcZLph0auThWUdnibBce-9fjyxurnKVgKVf4hUbbLFBuin6qhHSF9AOlnRfX8KIiJFJ5x8UslNyLhC9lEkROpuFHRkmCxBno8j1o5NMc94Hx1HMxUonORPQlwsTOBMUhnpP5gcCsDReVfmNVEo3TvIuX2CQcdhSTOWIyR6zN0YbzWvx1wbDxl2CLdF8LlWpvw1FlvLhcf7NYh7nUBxkG9sHvT53C2s34bhgPb0eDQ1jX7yjrcY6gUbzN8RhW1XvxPHs7MT_ZB6oYzig |
| openUrl | ctx_ver=Z39.88-2004&ctx_enc=info%3Aofi%2Fenc%3AUTF-8&rfr_id=info%3Asid%2Fsummon.serialssolutions.com&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Ajournal&rft.genre=article&rft.atitle=An+Automated+Framework+for+Incorporating+News+into+Stock+Trading+Strategies&rft.jtitle=IEEE+transactions+on+knowledge+and+data+engineering&rft.au=Nuij%2C+Wijnand&rft.au=Milea%2C+Viorel&rft.au=Hogenboom%2C+Frederik&rft.au=Frasincar%2C+Flavius&rft.date=2014-04-01&rft.pub=The+Institute+of+Electrical+and+Electronics+Engineers%2C+Inc.+%28IEEE%29&rft.issn=1041-4347&rft.eissn=1558-2191&rft.volume=26&rft.issue=4&rft.spage=823&rft_id=info:doi/10.1109%2FTKDE.2013.133&rft.externalDBID=NO_FULL_TEXT&rft.externalDocID=3254851551 |
| thumbnail_l | http://covers-cdn.summon.serialssolutions.com/index.aspx?isbn=/lc.gif&issn=1041-4347&client=summon |
| thumbnail_m | http://covers-cdn.summon.serialssolutions.com/index.aspx?isbn=/mc.gif&issn=1041-4347&client=summon |
| thumbnail_s | http://covers-cdn.summon.serialssolutions.com/index.aspx?isbn=/sc.gif&issn=1041-4347&client=summon |