An ontology based framework for mining dependence relationships between news and financial instruments

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journal

11 Scopus Citations
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Author(s)

  • Shanshan Wang
  • Kaiquan Xu
  • Long Liu
  • Bing Fang
  • Huaiqing Wang

Related Research Unit(s)

Detail(s)

Original languageEnglish
Pages (from-to)12044-12050
Journal / PublicationExpert Systems with Applications
Volume38
Issue number10
Publication statusPublished - 15 Sep 2011

Abstract

Before news is input into financial trading algorithms/models, it needs human judgements for exploring the market implications of news content, distinguishing significance extent of news, and finding out the impact of polar type of each kind of news on certain financial instrument trading activity. But Dawes and Faust (1989) reported that people usually rely on clinical judgements, especially it is hard for them to distinguish valid decision variables from invalid ones in decision making. Thus, in order to alleviate this problem and provide more objective decision making support about news in financial market, an ontology based framework is proposed, for investigating the actuarial dependence relationships between news and financial instruments trading activities as well as identifying more valid news for trading decision making. This framework is expected to help people in financial market how to consider weight for each kind of news when inputted in trading algorithms/models of certain financial instruments. © 2010 Elsevier Ltd. All rights reserved.

Research Area(s)

  • Bayesian network technique, Data mining, Dependence relationships, Expert defined rules, Financial instruments trading activities, News, Ontology

Citation Format(s)

An ontology based framework for mining dependence relationships between news and financial instruments. / Wang, Shanshan; Xu, Kaiquan; Liu, Long; Fang, Bing; Liao, Shaoyi; Wang, Huaiqing.

In: Expert Systems with Applications, Vol. 38, No. 10, 15.09.2011, p. 12044-12050.

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journal