@article{ART003055332},
author={Yoo-jin Hwang and Seung-yeon Son and Zoon-Ky Lee},
title={Prediction of Stock Returns from News Article‘s Recommended Stocks Using XGBoost and LightGBM Models},
journal={Journal of The Korea Society of Computer and Information},
issn={1598-849X},
year={2024},
volume={29},
number={2},
pages={51-59},
doi={10.9708/jksci.2024.29.02.051}
TY - JOUR
AU - Yoo-jin Hwang
AU - Seung-yeon Son
AU - Zoon-Ky Lee
TI - Prediction of Stock Returns from News Article‘s Recommended Stocks Using XGBoost and LightGBM Models
JO - Journal of The Korea Society of Computer and Information
PY - 2024
VL - 29
IS - 2
PB - The Korean Society Of Computer And Information
SP - 51
EP - 59
SN - 1598-849X
AB - This study examines the relationship between the release of the news and the individual stock returns.
Investors utilize a variety of information sources to maximize stock returns when establishing investment strategies. News companies publish their articles based on stock recommendation reports of analysts, enhancing the reliability of the information. Defining release of a stock-recommendation news article as an event, we examine its economic impacts and propose a binary classification model that predicts the stock return 10 days after the event. XGBoost and LightGBM models are applied for the study with accuracy of 75%, 71% respectively. In addition, after categorizing the recommended stocks based on the listed market(KOSPI/KOSDAQ) and market capitalization(Big/Small), this study verifies difference in the accuracy of models across four sub-datasets. Finally, by conducting SHAP(Shapley Additive exPlanations) analysis, we identify the key variables in each model, reinforcing the interpretability of models.
KW - Recommended Stock Return Prediction;XGBoost;LightGBM;SHAP;News Article
DO - 10.9708/jksci.2024.29.02.051
ER -
Yoo-jin Hwang, Seung-yeon Son and Zoon-Ky Lee. (2024). Prediction of Stock Returns from News Article‘s Recommended Stocks Using XGBoost and LightGBM Models. Journal of The Korea Society of Computer and Information, 29(2), 51-59.
Yoo-jin Hwang, Seung-yeon Son and Zoon-Ky Lee. 2024, "Prediction of Stock Returns from News Article‘s Recommended Stocks Using XGBoost and LightGBM Models", Journal of The Korea Society of Computer and Information, vol.29, no.2 pp.51-59. Available from: doi:10.9708/jksci.2024.29.02.051
Yoo-jin Hwang, Seung-yeon Son, Zoon-Ky Lee "Prediction of Stock Returns from News Article‘s Recommended Stocks Using XGBoost and LightGBM Models" Journal of The Korea Society of Computer and Information 29.2 pp.51-59 (2024) : 51.
Yoo-jin Hwang, Seung-yeon Son, Zoon-Ky Lee. Prediction of Stock Returns from News Article‘s Recommended Stocks Using XGBoost and LightGBM Models. 2024; 29(2), 51-59. Available from: doi:10.9708/jksci.2024.29.02.051
Yoo-jin Hwang, Seung-yeon Son and Zoon-Ky Lee. "Prediction of Stock Returns from News Article‘s Recommended Stocks Using XGBoost and LightGBM Models" Journal of The Korea Society of Computer and Information 29, no.2 (2024) : 51-59.doi: 10.9708/jksci.2024.29.02.051
Yoo-jin Hwang; Seung-yeon Son; Zoon-Ky Lee. Prediction of Stock Returns from News Article‘s Recommended Stocks Using XGBoost and LightGBM Models. Journal of The Korea Society of Computer and Information, 29(2), 51-59. doi: 10.9708/jksci.2024.29.02.051
Yoo-jin Hwang; Seung-yeon Son; Zoon-Ky Lee. Prediction of Stock Returns from News Article‘s Recommended Stocks Using XGBoost and LightGBM Models. Journal of The Korea Society of Computer and Information. 2024; 29(2) 51-59. doi: 10.9708/jksci.2024.29.02.051
Yoo-jin Hwang, Seung-yeon Son, Zoon-Ky Lee. Prediction of Stock Returns from News Article‘s Recommended Stocks Using XGBoost and LightGBM Models. 2024; 29(2), 51-59. Available from: doi:10.9708/jksci.2024.29.02.051
Yoo-jin Hwang, Seung-yeon Son and Zoon-Ky Lee. "Prediction of Stock Returns from News Article‘s Recommended Stocks Using XGBoost and LightGBM Models" Journal of The Korea Society of Computer and Information 29, no.2 (2024) : 51-59.doi: 10.9708/jksci.2024.29.02.051
