Abstracts of Annual Conference of Japan Society for Management Information
The 22nd Pacific Asia Conference on Information Systems (PACIS 2018)
Session ID : P-8
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Abstract
LSTM Model for Explaining the Association between News Data and Stock Price Volatility
*Liliko TakayamaAiko SugeHiroshi Takahashi
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Abstract
Research on the association between stock price volatility and news data is popular and numerous studies have been conducted. In a recent paper, authors have focused on Korean stock market and studied the association between news on individual companies and stock price volatility. This paper uses tick data and aims to improve text categorization through LSTM model by classifying news data to macroeconomic news and individual companies news.
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© 2018 by Japan Society for Management Information
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