Retrieving Financial News Articles

CS 498cxz Text Info Systems

April 27th 2006

Jai Vasanth

Andra Ivan

What is the Goal?

Retrieve news articles that may have a

high impact on a company’s stock price.

– Data acquisition– Method for assessing an article’s

importance– Quantifying retrieval performance

Too much Data can be Bad?

Financial news journals:Cnet News, Google Business News, MSN Money, Fortune Magazine…

No existing retrieval system for high impact financial news– EAnalyst

• Predicts the stock trend for a specific company by associating news and stock information

• Results are not convincing.

Relevant news articles must exhibit distinctive language trends

Language Models for Relevance News articles are treated as a “bag of words” Relevance scoring schemes:

– Robertson Sparck Jones Model• Raw tf weighting

• BM25/Okapi approximation

– KL Divergence

– Logistic Regression– Entropy Maximization

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Maximum Entropy Model Define n events (features) e1, e2 …en over our

sample space (event ei would be the occurrence of the ith term)

Let p be the probability distribution that we are trying to learn.

Maximum Entropy Modeling learns p such that p(e1), p(e2) ….p(en) are all exactly equal to p(e1), p(e2) ….p(en) where p is the value estimated from the train set.

The rest of the events are modeled uniformly (thereby maximizing entropy)

News and Stock Data Data Collection

– 45,000 news articles published 2000 – 2005 collected (CNet News).

– Daily stock prices for NASDAQ companies over 2000 – 2005 (Yahoo! Finance)

– NASDAQ index values over 2000 – 2005 (Yahoo! Finance)

Data Preprocessing– Extract story content from html– Extract named entities for each news article and match them

against stock symbol (OpenNLP toolkit).– Tag each article as relevant or not.– 2000 and 2001 are test sets.

Measuring News Article Impact on Stock

Just this week, Oracle CEO Larry Ellison told the Financial Times that he would "like to have a complete stack." Oracle makes billions of dollars selling databases and business applications. In recent years, the company has bought up many other companies, including rivals like PeopleSoft and Siebel Systems.

+ 3.03%

+ 5.123% - 2.04%

NASDAQ: + 2.03

5.123 – 2.03 = 3.093 %

RSJ, KL-Divergence

RSJ, KL relative to NASDAQ index

Logistic Regression, Maximum Entropy relative to NASDAQ index

Remarks

Imperfect named entity recognition. Unigram model is limited in capturing

any semantic meaning of words. Naïve approach, not following stories

but word usages. Limited data sources.

Top Relevant Articles (RSJ Raw TF) New top-end Sun chip arriving by October. Unable to meet an earlier

deadline, the company now says the 900MHz UltraSparc III has passed tests and will ship in workstations in the next 90 days.

Earnings season hits Wall Street this week, with hundreds of companies giving investors a glimpse of their business results from the third quarter … Of the 1,262 companies that issued earnings pre-announcements this quarter, 782 companies, or 62 percent, warned of lower earnings ..

Intel's P6 chip architecture not dead yet. Banias, a low-power chip for notebooks and Net devices, will be based on the older Pentium

processor design that's being phased out in other Intel product lines.

Amazon.com, Compaq Computer, Lucent and a slew of telecommunications companies are slated to report their quarterly results. With the exception of Amazon, which said it would top previous projections, all major companies reporting this week have lowered the bar for themselves.

Least Relevant Articles (RSJ Raw TF)

Last week's terrorist attacks marked a significant turning point in the debate over computer and Internet privacy, giving new weight to calls for broader government surveillance powers.

Software worms have become the weapons of choice for vandals to spread their latest creations, surpassing all malicious-code predecessors in popularity.

Proposed anti-spam measures before Congress this year are facing opposition from all sides, despite longstanding angst over junk e-mail and high hopes that 2001 would be the year a federal law would pass. .. said Gary Hermansen, CEO of Brightmail, which provides spam-filtering technology to Microsoft, EarthLink, AT&T.

And during the past year, several companies including Microsoft, IBM, 24/7 Media, EarthLink, Excite@Home and DoubleClick have appointed chief privacy officers, apparently to articulate and enforce privacy policies

Top Relevant Articles (Logistic Regression)

The PC industry will begin its quarterly health check later today, when Gateway reports its second-quarter earnings.The direct PC seller is expected to post earnings of 36 cents per share and revenue around $2.1 billion when it releases its results after the close of regular trading. For the same quarter a year ago.

Lucent Technologies' financial woes continued Tuesday as the telecommunications equipment maker said it expects next quarter's profits will be lower than expected. In after-hours trading, at 4:40 p.m. PT, Lucent's stock plummeted $7.25, from $31.38 to $24.13, according to the Island ECN Web site.

Microsoft at last introduced Windows 2000, an ambitious attempt to make up ground in the high-end computing world.The business-use software, which the giant hopes will make inroads on the server computers that power Web sites while staving off fast-growing Linux, marks an industry milestone because numerous other companies are expecting to benefit.

Lucent Technologies has given Wall Street indications that there may be light

at the end of the tunnel for the financially besieged company, but some

analysts wonder if the worst is yet to come.After a year marked by a series of

financial gaffes, Lucent executives have spent the past few months performing

a massive makeover of a company that was once the darling of Wall Street investors.

Top Nonrelevant Articles (Logistic Regression)

The truth is out there. Just don't go looking for much of it surrounding "Majestic," the new online adventure game launched recently by video and computer games giant Electronic Arts.The game, which draws obvious inspiration from "The X-Files" and the 1997 thriller "The Game," guides players through an interactive mystery based on actual conspiracy theories involving alien contacts and government cover-ups.Venture capitalists recovering from dot-com scare.Though venture capitalists say their business has undergone a significant chill, they agree that the drop in temperature is unlikely to threaten--and may even improve--the overall health of the industry.Adam Zong could almost taste the money.He had just wrapped up a presentation to a potential investor and was told that a check for $1.5 million enough to propel his young company

Battle lines harden over Net copyright. A former commissioner of the U.S. Patent and Trademark Office is stepping back into the digital fray, creating a pro-copyright coalition aimed at defending his and Congress' work.Bruce Lehman thinks the digital copyright laws he helped write are in trouble, and it's largely the Net's fault.Lehman helped author the laws that govern music, video and other digital media distribution when he ran the U.S. Patent and Trademark Office in the mid-1990s.

Virtual shareholder meetings flop. A certain law lets companies hold shareholder meetings solely online, but critics complain it coshareholders' rights in jeopardy.You can research stocks, review them, and even purchase them completely online. But once you've actually bought the stock, you'reback to the real world.Annual reports, proxies and other corporate documentation are still shipped out by paper mail to shareholders every year.

Top Relevant Articles (Maximum Entropy)Earnings march or funeral wake? Earnings season kicks off with a vengeance this week, as hundreds of companies will tell Wall Street how their businesses fared in the second quarter.Following are some of the notable tech-related events scheduled for the week of July 16 through July 20.Earnings season kicks off with a vengeance this week, as hundreds of companies will tell Wall Street how their businesses fared in the second quarter.

Rambus at the root of Intel's memory troubles | Intel discovers problems with a chip, called the memory translation hub, inside several Pentium III-based PCs--a flaw related to Rambus.Intel's got another problem, and once again the trail leads to Rambus.Intel today said it has discovered problems with a chip called the memory translation hub, or MTH, inside several Pentium III-based PCs.

The limbo game will continue next week as investors and analysts see whether another round of technology bellwethers can go even lower than their preannouncements have predicted. Amazon.com, Compaq Computer, Lucent and a slew of telecommunications companies are slated to report their quarterly results.With the exception of Amazon, which said it would top previous projections, all major companies reporting this week have lowered the bar for themselves.

Earnings season kicks into high gear with bellwethers such as IBM, Intel, AMD, Gateway and Siebel Systems all scheduled to report their first-quarter numbers.With the notable exception of IBM, most of the big-name chip and PC makers have already watered down their sales and earnings expectations for the quarter after a dramatic slowdown in technology spending by companies large

References

Auton Lab Toolkit for Logistic Regression.[www.autonlab.org]

Lavrenko, Mining of Concurrent Text and Time Series. [http://ciir.cs.umass.edu/~lavrenko/aenalyst/pitch.pdf]

Lucene Search Engine Library. [http://lucene.apache.org/java/docs/index.html]

Maximum Entropy Modeling Toolkit. [http://homepages.info.ed.ac.uk/s0450736/maxent_toolkit.html]

Berger, Adam et al. Maximum Entropy Approach to Natural Language Processing.

Zhai, Cheng. Probabilistic Retrieval Model.[http://sifaka.cs.uiuc.edu/course/498cxz06s/ppt/probmodel.ppt]