| 基于多层级新闻的股价预测与交易策略研究 |
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| 引用本文： | 龙文,田嘉祺,毛元丰.基于多层级新闻的股价预测与交易策略研究[J].计算机工程与应用,2023,59(3):293-299. |
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| 作者姓名： | 龙文 田嘉祺 毛元丰 |
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| 作者单位： | 中国科学院大学 经济与管理学院，北京 100190 |
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| 基金项目： | 国家自然科学基金面上项目（71771204）； |
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| 摘 要： | 构建包括公司、子行业和行业三个层级的综合新闻体系，从新闻层级角度拓展了股价预测任务中所使用新闻的范围，研究多层级新闻体系对股价趋势的预测作用。为了更好地利用各层级新闻，引入了多核学习（MKL）模型。研究发现，三个层级的新闻都能在预测中发挥作用，相比只考虑个股新闻的SVM模型，基于多层级新闻的MKL模型预测准确率提升了10%。在此基础上构建交易策略，模拟交易的结果显示，引入多层级新闻的MKL模型能获得超额收益，表明其在市场交易中具有实践价值。
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| 关 键 词： | 多层级财经新闻 多核学习模型 股价趋势 交易策略 |
Research on Stock Price Prediction and Trading Strategy Based on Multi-Level News |
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| LONG Wen,TIAN Jiaqi,MAO Yuanfeng.Research on Stock Price Prediction and Trading Strategy Based on Multi-Level News[J].Computer Engineering and Applications,2023,59(3):293-299. |
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| Authors: | LONG Wen TIAN Jiaqi MAO Yuanfeng |
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| Affiliation: | School of Economics and Management, University of Chinese Academy of Sciences, Beijing 100190，China |
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| Abstract: | The paper builds a comprehensive news system including three levels: company, sub industry and industry to expand the scope of news used in stock price forecasting task from the perspective of news level and study the prediction effect of multi-level news system on stock price trend. In order to make better use of the news at all levels, multi-kernel learning (MKL) model is used. It is found that the three levels of news can play a role in prediction. Compared with the support vector machine (SVM) model considering only individual stock news, the prediction accuracy of MKL model based on multi-level news is improved by 10%. The trading strategy is constructed according to the above model. The simulation results show that the MKL model with multi-level news has important practical value in market trading. |
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| Keywords: | multi-level financial news multi-kernel learning model stock price trend trading strategy |
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