Knowledge Commons of Institute of Automation,CAS
A Commonsense Knowledge-Enabled Textual Analysis Approach for Financial Market Surveillance | |
Li, Xin1; Chen, Kun2; Sun, Sherry X.; Fung, Terrance3; Wang, Huaiqing2; Zeng, Daniel D.4,5 | |
发表期刊 | INFORMS JOURNAL ON COMPUTING |
2016-03-01 | |
卷号 | 28期号:2页码:278-294 |
文章类型 | Article |
摘要 | Market surveillance systems (MSSs) are increasingly used to monitor trading activities in financial markets to maintain market integrity. Existing MSSs primarily focus on statistical analysis of market activity data and largely ignore textual market information, including, but not limited to, news reports and various social media. As suggested by both theoretical explorations in finance and prevailing market surveillance practice, unstructured market information holds major yet underexplored opportunities for surveillance. In this paper, we propose a news analysis approach with the help of commonsense knowledge to assess the risk of suspicious transactions identified in market activity analysis. Our approach explicitly models semantic relations between transactions and news articles and provides semantic references to words in news articles. We conducted experiments using data collected from a real-world market and found that our proposed approach significantly outperforms the existing methods, which are based on transaction characteristics or traditional textual analysis methods. Experiments also show that the performance advantage of the proposed approach mainly comes from the modeling of news-transaction relationships. The research contributes to the market surveillance literature and has significant practical implications. |
关键词 | Market Surveillance Text Mining Commonsense Knowledge Business Intelligence Intelligent Financial Systems |
WOS标题词 | Science & Technology ; Technology |
DOI | 10.1287/ijoc.2015.0677 |
关键词[WOS] | QUERY EXPANSION ; INVESTOR SENTIMENT ; MODEL ; INFORMATION ; LANGUAGE ; WORDNET ; SYSTEM ; TALK ; WEB |
收录类别 | SCI ; SSCI |
语种 | 英语 |
项目资助者 | City University of Hong Kong(SRG 7002898 ; NNSFC(71025001 ; GuangDong NSF(2015A030313876) ; Shenzhen Foundation Research(JCYJ20140417105742712) ; SRG 7004142) ; 71572169) |
WOS研究方向 | Computer Science ; Operations Research & Management Science |
WOS类目 | Computer Science, Interdisciplinary Applications ; Operations Research & Management Science |
WOS记录号 | WOS:000377110200007 |
引用统计 | |
文献类型 | 期刊论文 |
条目标识符 | http://ir.ia.ac.cn/handle/173211/12181 |
专题 | 多模态人工智能系统全国重点实验室_互联网大数据与信息安全 |
作者单位 | 1.City Univ Hong Kong, Coll Business, Dept Informat Syst, Hong Kong, Hong Kong, Peoples R China 2.South Univ Sci & Technol China, Dept Finance, Shenzhen 518000, Guangdong, Peoples R China 3.Secur & Futures Commiss Hong Kong, Hong Kong, Hong Kong, Peoples R China 4.Chinese Acad Sci, Inst Automat, Beijing 100864, Peoples R China 5.Univ Arizona, Dept Management Informat Syst, Tucson, AZ 85721 USA |
推荐引用方式 GB/T 7714 | Li, Xin,Chen, Kun,Sun, Sherry X.,et al. A Commonsense Knowledge-Enabled Textual Analysis Approach for Financial Market Surveillance[J]. INFORMS JOURNAL ON COMPUTING,2016,28(2):278-294. |
APA | Li, Xin,Chen, Kun,Sun, Sherry X.,Fung, Terrance,Wang, Huaiqing,&Zeng, Daniel D..(2016).A Commonsense Knowledge-Enabled Textual Analysis Approach for Financial Market Surveillance.INFORMS JOURNAL ON COMPUTING,28(2),278-294. |
MLA | Li, Xin,et al."A Commonsense Knowledge-Enabled Textual Analysis Approach for Financial Market Surveillance".INFORMS JOURNAL ON COMPUTING 28.2(2016):278-294. |
条目包含的文件 | 条目无相关文件。 |
除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。
修改评论