DocumentCode :
642871
Title :
Investment portfolio optimization based on risk and trust management
Author :
Tirea, Monica ; Negru, Viorel
Author_Institution :
Comput. Sci. Dept., West Univ. of Timisoara, Timisoara, Romania
fYear :
2013
fDate :
26-28 Sept. 2013
Firstpage :
369
Lastpage :
374
Abstract :
The goal of this paper is to develop a system able to coordinate a trader in optimizing a stock market portfolio in order to improve the profitability of a short or medium time period investment. The system is able to classify the risk and quantifies its effect on an investment based on sentiment analysis, certain characteristics and the traders level of confidence. It also uses an ontology to describe the markets status and expectations based on future events (text features) and to determine the relationship and correlation between news articles. The system also verifies the effect of a similar percentage of positive and negative news articles, and which of this information will influence more the stock price movement and trend. We proposed a multi-agent system that uses text mining, ontology, sentiment analysis, trust and risk models in order to choose the appropriate mix of investments to minimize the risk and maximize the gain on a stock portfolio. A prototype was developed on which we validated our research.
Keywords :
investment; multi-agent systems; ontologies (artificial intelligence); optimisation; risk management; stock markets; trusted computing; investment portfolio optimization; medium time period investment; multi-agent system; ontology; risk management; sentiment analysis; short time period investment; stock market portfolio; stock price movement; text mining; trust management; Analytical models; Correlation; Investment; Market research; Optimization; Portfolios; Stock markets; Multi-Agent System; Portfolio Optimization; Risk Management; Sentiment Analysis; Stock Market Prediction; Trading Strategies; Trust;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Intelligent Systems and Informatics (SISY), 2013 IEEE 11th International Symposium on
Conference_Location :
Subotica
Print_ISBN :
978-1-4799-0303-0
Type :
conf
DOI :
10.1109/SISY.2013.6662604
Filename :
6662604
Link To Document :
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