Topic generation for Chinese stocks: a cognitively motivated topic modelingmethod using social media data

Wenhao Chen; Kinkeung Lai; Yi Cai; Wenhao Chen; Kinkeung Lai; Yi Cai

doi:10.3934/QFE.2018.2.279

Quantitative Finance and Economics

2018, Volume 2, Issue 2: 279-293. doi: 10.3934/QFE.2018.2.279

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Topic generation for Chinese stocks: a cognitively motivated topic modelingmethod using social media data

1.
Department of Management Science, City University of Hong Kong, Hong Kong
2.
Department of Industrial and Manufacturing Systems Engineering, Hong Kong University, Hong
3.
School of Software Engineering, South China University of Technology, Guangzhou, China

Received: 29 November 2017 Accepted: 17 January 2018 Published: 20 April 2018
JEL Codes: C55

With the explosive growth of user-generated data in social media websites such as Twitter and Weibo, a lot of research has been conducted on exploring the prediction power of social media data in financial market and discussing the correlation between the public mood in social media and the stock market price movement. Our previous research has demonstrated that the topic-based public mood from Weibo can be used to predict the stock price movement in China. However, one of the most challenging problems in topic-based sentiment analysis is how to get the relevant topics about a stock. The relevant topics are also considered as concepts about a stock which can be used to build the ontology of stock market for semantic computing and behavioral finance research. In this paper, motivated by the basic level concept in cognitive psychology, we present a novel method using Latent Dirichlet Allocation (LDA) to generate topics about a stock based on the social media data. The experimental results show that the proposed method is e ective and better than other topic modeling methods. The topics generated by our method are more interpretable and could be used for topic-based sentiment analysis.
- topic modeling,
- cognitive psychology,
- semantic computing,
- text mining,
- financial engineering
Citation: Wenhao Chen, Kinkeung Lai, Yi Cai. Topic generation for Chinese stocks: a cognitively motivated topic modelingmethod using social media data[J]. Quantitative Finance and Economics, 2018, 2(2): 279-293. doi: 10.3934/QFE.2018.2.279

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Abstract

With the explosive growth of user-generated data in social media websites such as Twitter and Weibo, a lot of research has been conducted on exploring the prediction power of social media data in financial market and discussing the correlation between the public mood in social media and the stock market price movement. Our previous research has demonstrated that the topic-based public mood from Weibo can be used to predict the stock price movement in China. However, one of the most challenging problems in topic-based sentiment analysis is how to get the relevant topics about a stock. The relevant topics are also considered as concepts about a stock which can be used to build the ontology of stock market for semantic computing and behavioral finance research. In this paper, motivated by the basic level concept in cognitive psychology, we present a novel method using Latent Dirichlet Allocation (LDA) to generate topics about a stock based on the social media data. The experimental results show that the proposed method is e ective and better than other topic modeling methods. The topics generated by our method are more interpretable and could be used for topic-based sentiment analysis.

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