A Tensor-Based Information Framework for Predicting the Stock Market

Author:

Li Qing1,Chen Yuanzhu2,Jiang Li Ling1,Li Ping1,Chen Hsinchun3

Affiliation:

1. Southwestern University of Finance and Economics, Sichuan, China

2. Memorial University of Newfoundland, NL, Canada

3. University of Arizona, USA, and Tsinghua University, China

Abstract

To study the influence of information on the behavior of stock markets, a common strategy in previous studies has been to concatenate the features of various information sources into one compound feature vector, a procedure that makes it more difficult to distinguish the effects of different information sources. We maintain that capturing the intrinsic relations among multiple information sources is important for predicting stock trends. The challenge lies in modeling the complex space of various sources and types of information and studying the effects of this information on stock market behavior. For this purpose, we introduce a tensor-based information framework to predict stock movements. Specifically, our framework models the complex investor information environment with tensors. A global dimensionality-reduction algorithm is used to capture the links among various information sources in a tensor, and a sequence of tensors is used to represent information gathered over time. Finally, a tensor-based predictive model to forecast stock movements, which is in essence a high-order tensor regression learning problem, is presented. Experiments performed on an entire year of data for China Securities Index stocks demonstrate that a trading system based on our framework outperforms the classic Top- N trading strategy and two state-of-the-art media-aware trading algorithms.

Funder

Sichuan National Science Foundation for Distinguished Young Scholars

National Natural Science Foundation of China

U.S. National Science Foundation

Fundamental Research Funds for the Central Universities

University of Arizona and the China National 1000-Talent Program at the Tsinghua University

Publisher

Association for Computing Machinery (ACM)

Subject

Computer Science Applications,General Business, Management and Accounting,Information Systems

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