Weblog Analysis for Predicting Correlations in Stock Price Evolutions

@inproceedings{Kharratzadeh2012WeblogAF,
  title={Weblog Analysis for Predicting Correlations in Stock Price Evolutions},
  author={Milad Kharratzadeh and Mark J. Coates},
  booktitle={ICWSM},
  year={2012}
}
We use data extracted from many weblogs to identify the underlying relations of a set of companies in the Standard and Poor (S&P) 500 index. We define a pairwise similarity measure for the companies based on the weblog articles and then apply a graph clustering procedure. We show that it is possible to capture some interesting relations between companies using this method. As an application of this clustering procedure we propose a cluster-based portfolio selection method which combines… CONTINUE READING

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