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A Design for Commonsense Knowledge Enhanced High-Frequency Market Analysis System

Conference paper
Part of the Lecture Notes in Electrical Engineering book series (LNEE, volume 308)

Abstract

To identify the impacts of public news on security market, we propose a common-sense knowledge supported news analysis method, and design a system architecture for the news incorporated market analysis system. The graph model of common-sense knowledge is used to extend the news feature set by a random walk method. News indicators including news sentiment and news relevance are measured by common-sense knowledge supported text mining techniques. Based on these ideas, we develop a prototype system and examine the intra-day market reactions to public news on Hong Kong stock market. Our finds have shown the effectiveness of using common-sense knowledge and news in the market analysis domain. It is our belief that the common-sense knowledge incorporated market analysis system would be great helpful to market surveillance bureaus, traders and investors on the security market.

Keywords

commonsense knowledge market analysis system design 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2014

Authors and Affiliations

  1. 1.Department of Financial Mathematics & EngineeringSouth University of Science and TechnologyShenzhenChina
  2. 2.Department of Electrical and Electronic EngineeringThe University of Hong KongPokfulamHong Kong

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