In plain words: It predicts stock price moves from news and past prices, using two rounds of weighting to flag which news items and which days mattered most, so the prediction comes with an explanation. On several stocks' historical data it beat the best earlier news-based predictors.
Abstract
It has been shown that financial news leads to the fluctuation of stock prices. However, previous work on news-driven financial market prediction focused only on predicting stock price movement without providing an explanation. In this paper, we propose a dual-layer attention-based neural network to address this issue. In the initial stage, we introduce a knowledge-based method to adaptively extract relevant financial news. Then, we use input attention to pay more attention to the more influential news and concatenate the day embeddings with the output of the news representation. Finally, we use an output attention mechanism to allocate different weights to different days in terms of their contribution to stock price movement. Thorough empirical studies based upon historical prices of several individual stocks demonstrate the superiority of our proposed method in stock price prediction compared to state-of-the-art methods.
Linyi Yang, Zheng Zhang, Su Xiong, Lirui Wei, James Ng, Lina Xu, Ruihai Dong
arXiv:1902.04994 · cs.CL, cs.LG · submitted Feb 13, 2019
abstract · pdf · 10 pages, Proceedings of CCIS2018