The Stock Portfolio Recommendation System based on the Correlation between the Stock Message Boards and the Stock Market


KIPS Transactions on Software and Data Engineering, Vol. 3, No. 10, pp. 441-450, Oct. 2014
10.3745/KTSDE.2014.3.10.441,   PDF Download:

Abstract

The stock market is constantly changing and sometimes the stock prices unaccountably plummet or surge. So, the stock market is recognized as a complex system and the change on the stock prices is unpredictable. Recently, many researchers try to understand the stock market as the network among individual stocks and to find a clue about the change of the stock prices from big data being created in real time from Internet. We focus on the correlation between the stock prices and the human interactions in Internet especially in the stock message boards. To uncover this correlation, we collected and investigated the articles concerning with 57 target companies, members of KOSPI200. From the analysis result, we found that there is no significant correlation between the stock prices and the article volume, but the strength of correlation between the article volume and the stock prices is relevant to the stock return. We propose a new method for recommending stock portfolio base on the result of our analysis. According to the simulated investment test using the article data from the stock message boards in ``Daum`` portal site, the returns of our portfolio is about 1.55% per month, which is about 0.72% and 1.21% higher than that of the Markowitz`s efficient portfolio and that of the KOSPI average respectively. Also, the case using the data from ``Naver`` portal site, the stock returns of our proposed portfolio is about 0.90%, which is 0.35%, 0.40%, and 0.58% higher than those of our previous portfolio, Markowitz`s efficient portfolio, and KOSPI average respectively. This study presents that collective human behavior on Internet stock message board can be much helpful to understand the stock market and the correlation between the stock price and the collective human behavior can be used to invest in stocks.


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Cite this article
[IEEE Style]
Y. J. Lee, G. W. Kim, G. Woo, "The Stock Portfolio Recommendation System based on the Correlation between the Stock Message Boards and the Stock Market," KIPS Transactions on Software and Data Engineering, vol. 3, no. 10, pp. 441-450, 2014. DOI: 10.3745/KTSDE.2014.3.10.441.

[ACM Style]
Yun Jung Lee, Gun Woo Kim, and Gyun Woo. 2014. The Stock Portfolio Recommendation System based on the Correlation between the Stock Message Boards and the Stock Market. KIPS Transactions on Software and Data Engineering, 3, 10, (2014), 441-450. DOI: 10.3745/KTSDE.2014.3.10.441.