In
this paper we present a framework for automatic exploitation of news in stock
trading strategies. Events are extracted from news messages presented in free
text without annotations. We test the introduced framework by deriving trading
strategies based on technical indicators and impacts of the extracted events.
The strategies take the form of rules that combine technical trading indicators
with a news variable, and are revealed through the use of genetic programming.
We find that the news variable is often included in the optimal trading rules,
indicating the added value of news for predictive purposes and validating our
proposed framework for automatically incorporating news in stock trading
strategies.
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