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    政大機構典藏 > 資訊學院 > 資訊科學系 > 會議論文 >  Item 140.119/135521


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    題名: Hedging via Opinion-based Pair Trading Strategy
    作者: 黃瀚萱
    Huang, Hen-Hsen
    貢獻者: 資科系
    關鍵詞: Pair trading; financial social media; text mining
    日期: 2020-04
    上傳時間: 2021-06-04 14:38:45 (UTC+8)
    摘要: Risk is an important component when constructing a trading strategy. However, most of the previous works that make the price movement prediction on the basis of the opinions on social media platforms do not take the risk into consideration. In order to hedge the market-risk, we propose an idea of an opinion-based pair trading strategy. Comparing with the task setting of the previous works, our experimental results show that the neural network models with the pair-wise task setting perform better in both accuracy and profitability metrics. That introduces a new research direction for future researches on opinion-based price movement predictions.
    關聯: WWW `20: Companion Proceedings of the Web Conference 2020, Association for Computing Machinery, pp.69-70
    資料類型: conference
    DOI 連結: https://doi.org/10.1145/3366424.3382701
    DOI: 10.1145/3366424.3382701
    顯示於類別:[資訊科學系] 會議論文

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