Stock Price Forecasting by Combining News Mining and Time Series Analysis

Abstract

Stock price forecasting has aroused great concern in research of economy, machine learning and other fields. Time series analysis methods are usually utilized to deal with this task. In this paper, we propose to combine news mining and time series analysis to forecast inter-day stock prices. News reports are automatically analyzed with text mining techniques, and then the mining results are used to improve the accuracy of time series analysis algorithms. The experimental result on a half year Chinese stock market data indicates that the proposed algorithm can help to improve the performance of normal time series analysis in stock price forecasting significantly. Moreover, the proposed algorithm also performs well in stock price trend forecasting.