利用遺傳演算法以中文新聞與技術指標為基礎的股票趨勢預測之研究

股票市場預測長久以來一直是一個很吸引人的題目，激勵了無數的學術研究相繼投入探討。過往研究中顯示利用財經新聞預測相關事件的效應、了解投資人情緒，並以此為據採取相應的投資決策為一合理且可實行的作法。本研究嘗試利用中文財經新聞來預測股價走勢，並新聞因素結合技術分析指標衍生出一交易策略。實驗結果發現本交易策略的表現優於簡單的買入持有策略，亦顯示中文財經新聞對於股市具有一定程度的預測能力。　　我們同時檢驗了2-word combination特徵抽取方法應用在中文上的效益。實驗結果證實，由於中文文字本身的語法結構以及文字前處理方式上的差異，此方法應用在中文上的表現並不如其在英文文字上的表現。　　在實驗過程中我們發現參數的設定在特徵選擇上扮演了重要角色。因此我們導入了基因演算法來提升本交易策略的表現。利用基因演算法來找出中文詞彙獨特性和預測力之間的最佳平衡。我們同時加入技術分析指標來找出結合新聞文字探勘及技術分析指標的最佳買點。　　實驗結果顯示，利用我們所提出的交易策略，不僅勝過買入持有策略，亦勝過最佳化前的新聞交易策略。

關鍵字

中文文字探勘；基因演算法；交易策略；技術分析；股價漲跌分析

並列摘要

Stock market prediction is a very attractive topic that has inspired countless studies. Using financial news articles to forecast the effect of certain events, understand investors’ emotions, and react accordingly has been proved viable in existing literatures. In this study, we utilized Chinese financial news in attempt to predict the stock price movement and to derive a trading strategy based on news factors and technical indicators. The result shows that our proposed news-based trading strategy outperforms a simple buy-and-hold strategy, showing that Chinese financial news possesses a reasonable amount of predictive power on stock price movement. We also examined the use of 2-word combination feature extraction on Chinese text. Our experiment shows that, comparing to English, the Chinese language does not benefit as much from applying the said technique due to its syntactical structure and text preprocessing method. While conducting our experiment, we discovered that the setting of hyperparameters plays an important part in feature selection. Hence, we adopted a Genetic Algorithm approach to enhance the performance of feature selection in our input dataset by optimizing the balance between uniqueness and predictive power. We also included some technical indicators in the Genetic Algorithm in order to examine the optimal trading timing with technical indicators and financial news articles working in tandem. The result shows that our proposed algorithm performs better than the simple buy-and-hold strategy as well as our original stock trend prediction algorithm.