Detecting Short-selling in US-listed Chinese Firms Using Ensemble Learning
This paper uses ensemble learning to build a predictive model to analyze the short selling mechanism of short institutions. We demonstrate the value of combining domain knowledge and machine learning methods in financial market. On the basis of the benchmark model, we use three input data: stock price, financial data and textual data and we employ one of the most powerful machine learning methods, ensemble learning, rather than the commonly used method of logistic regression. In specific methods, we use LSTM-AdaBoost and CART-AdaBoost for model prediction. The results show that the model we train have strong prediction ability for short-selling and the company' s financial text data is more likely to have an impression of whether it would be shorted or not.
Likelihood Lab ;
Detecting Short-selling in US-listed Chinese Firms Using Ensemble Learning （2022年04月13日）http://www.cfrn.com.cn//lw/xjr/jrkjlw/9dbf397530a64e8c849f5d073500dc10.htm