Proceedings of the 5th International Conference on Economic Management and Model Engineering, ICEMME 2023, November 17–19, 2023, Beijing, China

Research Article

A Quantitative System Conception of the Impact of News on Stock Prices ——An Improvement Based on the Transformer’s Self-Attention

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  • @INPROCEEDINGS{10.4108/eai.17-11-2023.2342762,
        author={Xin Liu and Kuang Du},
        title={A Quantitative System Conception of the Impact of News on Stock Prices ------An Improvement Based on the Transformer’s Self-Attention},
        proceedings={Proceedings of the 5th International Conference on Economic Management and Model Engineering, ICEMME 2023, November 17--19, 2023, Beijing, China},
        publisher={EAI},
        proceedings_a={ICEMME},
        year={2024},
        month={2},
        keywords={news quantification stock price volatility transformer},
        doi={10.4108/eai.17-11-2023.2342762}
    }
    
  • Xin Liu
    Kuang Du
    Year: 2024
    A Quantitative System Conception of the Impact of News on Stock Prices ——An Improvement Based on the Transformer’s Self-Attention
    ICEMME
    EAI
    DOI: 10.4108/eai.17-11-2023.2342762
Xin Liu1,*, Kuang Du2
  • 1: Southwest Minzu University
  • 2: Inner Mongolia Finance and Economics College
*Contact email: lx001201@163.com

Abstract

News is one of the important factors affecting the volatility of stock prices. However, investors in the Internet era are limited by restricted attention span and information processing heterogeneity under the flood of information, which gives a place to news quantification. This paper focuses on the theoretical issues underlying the different research perspectives in the process of studying the mechanism of news impact on stock prices. Then, based on this, an improvement of Quantitative System Conception of the Impact of News on Stock Price is made using transformer's self-attention.