Stock risk mining by news.

Pan, Qi.Thesis (M.Phil.)--Chinese University of Hong Kong, 2009.Includes bibliographical references (leaves 70-73).Abstract also in Chinese.Abstract --- p.iAcknowledgement --- p.iiiChapter 1 --- Introduction --- p.1Chapter 1.1 --- Main Contributions --- p.5Chapter 1.2 --- Structure of Thesis --- p.6Chapter 2 --- Related Works --- p.7Chapter 2.1 --- Literature Review --- p.7Chapter 2.1.1 --- Existing Works on Bursty Feature Idenfication --- p.9Chapter 2.2 --- Classification --- p.9Chapter 2.2.1 --- Support Vector Machine --- p.9Chapter 2.2.2 --- Decision Tree and C4.5 Algorithm --- p.10Chapter 2.3 --- PageRank and HITS Algorithm --- p.10Chapter 2.3.1 --- PageRank --- p.11Chapter 2.3.2 --- HITS --- p.11Chapter 2.4 --- Efficient Market Hypothesis --- p.12Chapter 3 --- Problem Statement --- p.14Chapter 3.1 --- Volatility --- p.14Chapter 3.2 --- Financial Model --- p.15Chapter 3.3 --- Problem Statement --- p.16Chapter 4 --- Volatility V.S. Trend Prediction --- p.18Chapter 5 --- Bursty Volatility Features --- p.22Chapter 5.1 --- ADFIDF Measure --- p.24Chapter 5.2 --- Bursty Volatility Features --- p.28Chapter 5.3 --- Bursty Volatility Features Selection --- p.29Chapter 6 --- Volatility Ranking --- p.32Chapter 6.1 --- Graph Construction --- p.32Chapter 6.2 --- Volatility Ranking By News --- p.35Chapter 7 --- Volatility Index for Stock Volatility --- p.37Chapter 8 --- Experiments --- p.41Chapter 8.1 --- Experiments for Volatility Index --- p.41Chapter 8.1.1 --- Effectiveness of Volatility Index --- p.42Chapter 8.1.2 --- Information from News --- p.42Chapter 8.1.3 --- Information from Market --- p.45Chapter 8.1.4 --- Correlation Value --- p.46Chapter 8.1.5 --- Bursty Feature selection --- p.47Chapter 8.2 --- Experiments for Ranking --- p.48Chapter 8.2.1 --- Ranking Quality Comparison --- p.49Chapter 8.2.2 --- Capturing Bursty Features --- p.51Chapter 8.2.3 --- The Effectiveness of Feature Rank --- p.52Chapter 8.2.4 --- The Effectiveness of Random Walk --- p.53Chapter 8.2.5 --- Combination of VbN and GARCH --- p.54Chapter 8.2.6 --- Ranking Result Sample --- p.56Chapter 9 --- Conclusion --- p.58Chapter A --- Most Important Features for Stocks --- p.60Chapter B --- Correlation Matrix of Stocks --- p.63Chapter C --- News Index Evaluation Result Table --- p.65Chapter D --- Stock Data in Experiments --- p.67Chapter E --- Constructed Graph --- p.68Bibliograph --- p.7