Exploring Financial Risk via Text Mining Approaches

• Main Author: 劉澤
• Other Authors: 蔡銘峰
• Format: Others
• Language: en_US
• Online Access: http://ndltd.ncl.edu.tw/handle/v8a7f8

碩士 === 國立政治大學 === 資訊科學學系 === 103 === In recent years, there have been some studies using machine learning techniques to predict stock tendency and investment risks in finance. There have also been some applications that analyze the textual information in fi- nancial reports, financial news, or even twitters on social network to provide useful information for stock investors. In this paper, we focus on the problem that uses the textual information in financial reports and numerical informa- tion of companies to predict the financial risk. We use the textual information in financial report of companies to predict the financial risk in the following year. We utilize stock volatility to measure financial risk. In the first part of the thesis, we use a finance-specific sentiment lexicon to improve the pre- diction models that are trained only textual information of financial reports. Then we also provide a sentiment analysis to the results. In the second part of the thesis, we attempt to combine the textual information and the numeri- cal information, such as stock returns to further improve the performance of the prediction models. In specific, in the proposed approach each company instance associated with its financial textual information will be weighted by its stock returns by using the cost-sensitive learning techniques. Our experi- mental results show that, finance-specific sentiment lexicon models conduct comparable performance to those on the original texts, which confirms the importance of financial sentiment words on risk prediction. More impor- tantly, the learned models suggest strong correlations between financial sen- timent words and risk of companies. In addition, our cost-sensitive results significantly improve the cost-insensitive results. As a result, these findings identify the impact of sentiment words in financial reports, and the numerical information can be utilized as the cost weights of learning techniques.