Incorporating Expert-Based Investment Opinion Signals in Stock Prediction: A Deep Learning Framework

  • Heyuan Wang Peking University
  • Tengjiao Wang Peking University
  • Yi Li Peking University

Abstract

Investment messages published on social media platforms are highly valuable for stock prediction. Most previous work regards overall message sentiments as forecast indicators and relies on shallow features (bag-of-words, noun phrases, etc.) to determine the investment opinion signals. These methods neither capture the time-sensitive and target-aware characteristics of stock investment reviews, nor consider the impact of investor's reliability. In this study, we provide an in-depth analysis of public stock reviews and their application in stock movement prediction. Specifically, we propose a novel framework which includes the following three key components: time-sensitive and target-aware investment stance detection, expert-based dynamic stance aggregation, and stock movement prediction. We first introduce our stance detection model named MFN, which learns the representation of each review by integrating multi-view textual features and extended knowledge in financial domain to distill bullish/bearish investment opinions. Then we show how to identify the validity of each review, and enhance stock movement prediction by incorporating expert-based aggregated opinion signals. Experiments on real datasets show our framework can effectively improve the performance of both investment opinion mining and individual stock forecasting.

Published
2020-04-03
Section
AAAI Technical Track: Applications