Stock return prediction using financial news: A unified sequence model based on hierarchical attention and long-short term memory networks

• Main Authors: CHEN, Haoling, LIU, Peng
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2021
• Subjects: stock price prediction; text classification; natural language processing; hierarchical attention networks (HAN); long short-term memory (LSTM); Finance; Finance and Financial Management
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/7045; https://ink.library.smu.edu.sg/context/lkcsb_research/article/8044/viewcontent/173400a133.pdf
• Institution: Singapore Management University

Stock return prediction has been a hot topic in both research and industry given its potential for large financial gain. The return signal, apart from its inherent volatility and complexity, is often accompanied by a multitude of noises, such as other stocks’ performance, macroeconomic factors and f...