Semantic Feature Representation to Capture News Impact

This paper presents a study where semantic frames are used to mine financial news so as to quantify the impact of news on the stock market. We represent news documents in a novel semantic tree structure and use tree kernel support vector machines to predict the change of stock price. We achieve an efficient computation through linearization of tree kernels. In addition to two binary classification tasks, we rank news items according to their probability to affect change of price using two ranking methods that require vector space features. We evaluate our rankings based on receiver operating characteristic curves and analyze the predictive power of our semantic features. For both learning tasks, the proposed semantic features provide superior results.