Use this URL to cite or link to this record in EThOS: http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.647188
Title: Mining text and time series data with applications in finance
Author: Staines, J.
ISNI:       0000 0004 5365 6716
Awarding Body: University College London (University of London)
Current Institution: University College London (University of London)
Date of Award: 2015
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Abstract:
Finance is a field extremely rich in data, and has great need of methods for summarizing and understanding these data. Existing methods of multivariate analysis allow the discovery of structure in time series data but can be difficult to interpret. Often there exists a wealth of text data directly related to the time series. In this thesis it is shown that this text can be exploited to aid interpretation of, and even to improve, the structure uncovered. To this end, two approaches are described and tested. Both serve to uncover structure in the relationship between text and time series data, but do so in very different ways. The first model comes from the field of topic modelling. A novel topic model is developed, closely related to an existing topic model for mixed data. Improved held-out likelihood is demonstrated for this model on a corpus of UK equity market data and the discovered structure is qualitatively examined. To the authors’ knowledge this is the first attempt to combine text and time series data in a single generative topic model. The second method is a simpler, discriminative method based on a low-rank decomposition of time series data with constraints determined by word frequencies in the text data. This is compared to topic modelling using both the equity data and a second corpus comprising foreign exchange rates time series and text describing global macroeconomic sentiments, showing further improvements in held-out likelihood. One example of an application for the inferred structure is also demonstrated: construction of carry trade portfolios. The superior results using this second method serve as a reminder that methodological complexity does not guarantee performance gains.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.647188  DOI: Not available
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