Quantifying Stock News Relevance in Indian Markets Stock News Relevance

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Neelam Rani
Raag Gupta


Researchers have extensively tried machine learning algorithms in news classification and related quantitative finance domains in the past. Stock market investors look forward to being able to predict stock prices successfully not only to get the best returns but also to minimize the risk of losses with a forecast of stock prices and movement of the stock exchange depending upon the type of news. In this paper, we hypothesize that any news that comes to the market can broadly be classified into two types: Class A- News that has an effect such that it leads to a rise in the stock prices of the reference stock and a fall in the stock prices of its competitor stocks, or vice versa, and Class B- News that results in a simultaneous surge or decline in the stock prices of the reference stocks and its competitor stocks alike. This study is an effort to mathematically validate this hypothesis.
This domain hasn’t been explored, and through our work, we try to demonstrate the capability of the existence of a pattern in the market, which could then be used for building automated trading strategies. We also adopt a unique approach to model the data as a supervised machine learning problem and by solving, on obtaining an accuracy of 66.5% we prove that such patterns exist and further suggest research inputs on ideas derived from this.

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Author Biography

Neelam Rani, Indian Institute of Management Shillong

Dr. Rani is doctorate from Indian Institute of Technology Delhi. She got Fulbright Doctoral and Professional Fellowship at Rutgers Business School, USA. Dr. Rani is a graduate in Mathematics; MBA (Finance). Besides, Dr. Rani is MA (Eco.), MPhil (Eco.) and MCA. Dr. Rani has total work experience of more than 20 years covering academic, research and industry. She is recipient of various awards such as NSE prize for Best Thesis in Financial Economics, outstanding paper awards by Amity International Business School, Noida in 2013 and Indian Institute of Capital Markets, Mumbai in 2014. She has been awarded 3E Innovative Young Researcher Award. She has been awarded various travel grants such as IDRC Young Researcher Grant 2014, CSIR 2008 and 2012, ICSSR 2008, UGC 2010 and 2013. Dr. Rani has co-authored a book on Mergers and Acquisitions published by Springer. Dr. Rani has published research papers in the journals of international repute.