{"id":"https://openalex.org/W3021466595","doi":"https://doi.org/10.1145/3366424.3382701","title":"Hedging via Opinion-based Pair Trading Strategy","display_name":"Hedging via Opinion-based Pair Trading Strategy","publication_year":2020,"publication_date":"2020-04-20","ids":{"openalex":"https://openalex.org/W3021466595","doi":"https://doi.org/10.1145/3366424.3382701","mag":"3021466595"},"language":"en","primary_location":{"id":"doi:10.1145/3366424.3382701","is_oa":false,"landing_page_url":"https://doi.org/10.1145/3366424.3382701","pdf_url":null,"source":{"id":"https://openalex.org/S4306506651","display_name":"Companion Proceedings of the Web Conference 2020","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"conference"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Companion Proceedings of the Web Conference 2020","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5103112809","display_name":"Ting-Wei Hsu","orcid":"https://orcid.org/0000-0003-0523-1118"},"institutions":[{"id":"https://openalex.org/I16733864","display_name":"National Taiwan University","ror":"https://ror.org/05bqach95","country_code":"TW","type":"education","lineage":["https://openalex.org/I16733864"]},{"id":"https://openalex.org/I84653119","display_name":"Academia Sinica","ror":"https://ror.org/05bxb3784","country_code":"TW","type":"facility","lineage":["https://openalex.org/I84653119"]}],"countries":["TW"],"is_corresponding":true,"raw_author_name":"Ting-Wei Hsu","raw_affiliation_strings":["Graduate Program of Data Science, National Taiwan University and Academia Sinica, Taiwan"],"affiliations":[{"raw_affiliation_string":"Graduate Program of Data Science, National Taiwan University and Academia Sinica, Taiwan","institution_ids":["https://openalex.org/I16733864","https://openalex.org/I84653119"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5101516307","display_name":"Chung-Chi Chen","orcid":"https://orcid.org/0000-0003-3680-9277"},"institutions":[{"id":"https://openalex.org/I16733864","display_name":"National Taiwan University","ror":"https://ror.org/05bqach95","country_code":"TW","type":"education","lineage":["https://openalex.org/I16733864"]}],"countries":["TW"],"is_corresponding":false,"raw_author_name":"Chung-Chi Chen","raw_affiliation_strings":["Department of Computer Science and Information Engineering, National Taiwan University, Taiwan"],"affiliations":[{"raw_affiliation_string":"Department of Computer Science and Information Engineering, National Taiwan University, Taiwan","institution_ids":["https://openalex.org/I16733864"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5053932280","display_name":"Hen\u2010Hsen Huang","orcid":"https://orcid.org/0000-0001-9169-3081"},"institutions":[{"id":"https://openalex.org/I87354575","display_name":"National Chengchi University","ror":"https://ror.org/03rqk8h36","country_code":"TW","type":"education","lineage":["https://openalex.org/I87354575"]}],"countries":["TW"],"is_corresponding":false,"raw_author_name":"Hen-Hsen Huang","raw_affiliation_strings":["Department of Computer Science, National Chengchi University, Taiwan and MOST Joint Research Center for AI Technology and All Vista Healthcare, Taiwan"],"affiliations":[{"raw_affiliation_string":"Department of Computer Science, National Chengchi University, Taiwan and MOST Joint Research Center for AI Technology and All Vista Healthcare, Taiwan","institution_ids":["https://openalex.org/I87354575"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5052520979","display_name":"Meng Chang Chen","orcid":"https://orcid.org/0000-0002-6815-2436"},"institutions":[{"id":"https://openalex.org/I4210098366","display_name":"Institute of Information Science, Academia Sinica","ror":"https://ror.org/00z83z196","country_code":"TW","type":"facility","lineage":["https://openalex.org/I4210098366","https://openalex.org/I84653119"]},{"id":"https://openalex.org/I16733864","display_name":"National Taiwan University","ror":"https://ror.org/05bqach95","country_code":"TW","type":"education","lineage":["https://openalex.org/I16733864"]}],"countries":["TW"],"is_corresponding":false,"raw_author_name":"Meng Chang Chen","raw_affiliation_strings":["Graduate Program of Data Science, National Taiwan University and Academia Sinica, Taiwan and Institute of Information Science, Academia Sinica, Taiwan"],"affiliations":[{"raw_affiliation_string":"Graduate Program of Data Science, National Taiwan University and Academia Sinica, Taiwan and Institute of Information Science, Academia Sinica, Taiwan","institution_ids":["https://openalex.org/I4210098366","https://openalex.org/I16733864"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5000334344","display_name":"Hsin\u2010Hsi Chen","orcid":"https://orcid.org/0000-0001-9757-9423"},"institutions":[{"id":"https://openalex.org/I16733864","display_name":"National Taiwan University","ror":"https://ror.org/05bqach95","country_code":"TW","type":"education","lineage":["https://openalex.org/I16733864"]}],"countries":["TW"],"is_corresponding":false,"raw_author_name":"Hsin-Hsi Chen","raw_affiliation_strings":["Department of Computer Science and Information Engineering, National Taiwan University, Taiwan and MOST Joint Research Center for AI Technology and All Vista Healthcare, Taiwan"],"affiliations":[{"raw_affiliation_string":"Department of Computer Science and Information Engineering, National Taiwan University, Taiwan and MOST Joint Research Center for AI Technology and All Vista Healthcare, Taiwan","institution_ids":["https://openalex.org/I16733864"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":5,"corresponding_author_ids":["https://openalex.org/A5103112809"],"corresponding_institution_ids":["https://openalex.org/I16733864","https://openalex.org/I84653119"],"apc_list":null,"apc_paid":null,"fwci":1.1988,"has_fulltext":false,"cited_by_count":4,"citation_normalized_percentile":{"value":0.7679558,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":97},"biblio":{"volume":null,"issue":null,"first_page":"69","last_page":"70"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10664","display_name":"Sentiment Analysis and Opinion Mining","score":0.9927999973297119,"subfield":{"id":"https://openalex.org/subfields/1702","display_name":"Artificial Intelligence"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T12761","display_name":"Data Stream Mining Techniques","score":0.9887999892234802,"subfield":{"id":"https://openalex.org/subfields/1702","display_name":"Artificial Intelligence"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/profitability-index","display_name":"Profitability index","score":0.7198308110237122},{"id":"https://openalex.org/keywords/task","display_name":"Task (project management)","score":0.7103303074836731},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.6862164735794067},{"id":"https://openalex.org/keywords/trading-strategy","display_name":"Trading strategy","score":0.6432310342788696},{"id":"https://openalex.org/keywords/hedge","display_name":"Hedge","score":0.5616372227668762},{"id":"https://openalex.org/keywords/component","display_name":"Component (thermodynamics)","score":0.5610130429267883},{"id":"https://openalex.org/keywords/sentiment-analysis","display_name":"Sentiment analysis","score":0.5516847968101501},{"id":"https://openalex.org/keywords/order","display_name":"Order (exchange)","score":0.5179771184921265},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.371873676776886},{"id":"https://openalex.org/keywords/machine-learning","display_name":"Machine learning","score":0.33219701051712036},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.23647940158843994},{"id":"https://openalex.org/keywords/business","display_name":"Business","score":0.18573161959648132},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.1500689685344696},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.12917426228523254}],"concepts":[{"id":"https://openalex.org/C129361004","wikidata":"https://www.wikidata.org/wiki/Q2470236","display_name":"Profitability index","level":2,"score":0.7198308110237122},{"id":"https://openalex.org/C2780451532","wikidata":"https://www.wikidata.org/wiki/Q759676","display_name":"Task (project management)","level":2,"score":0.7103303074836731},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.6862164735794067},{"id":"https://openalex.org/C131562839","wikidata":"https://www.wikidata.org/wiki/Q1574928","display_name":"Trading strategy","level":2,"score":0.6432310342788696},{"id":"https://openalex.org/C70771513","wikidata":"https://www.wikidata.org/wiki/Q235779","display_name":"Hedge","level":2,"score":0.5616372227668762},{"id":"https://openalex.org/C168167062","wikidata":"https://www.wikidata.org/wiki/Q1117970","display_name":"Component (thermodynamics)","level":2,"score":0.5610130429267883},{"id":"https://openalex.org/C66402592","wikidata":"https://www.wikidata.org/wiki/Q2271421","display_name":"Sentiment analysis","level":2,"score":0.5516847968101501},{"id":"https://openalex.org/C182306322","wikidata":"https://www.wikidata.org/wiki/Q1779371","display_name":"Order (exchange)","level":2,"score":0.5179771184921265},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.371873676776886},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.33219701051712036},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.23647940158843994},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.18573161959648132},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.1500689685344696},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.12917426228523254},{"id":"https://openalex.org/C97355855","wikidata":"https://www.wikidata.org/wiki/Q11473","display_name":"Thermodynamics","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C18903297","wikidata":"https://www.wikidata.org/wiki/Q7150","display_name":"Ecology","level":1,"score":0.0},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1145/3366424.3382701","is_oa":false,"landing_page_url":"https://doi.org/10.1145/3366424.3382701","pdf_url":null,"source":{"id":"https://openalex.org/S4306506651","display_name":"Companion Proceedings of the Web Conference 2020","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"conference"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Companion Proceedings of the Web Conference 2020","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[{"score":0.5099999904632568,"id":"https://metadata.un.org/sdg/8","display_name":"Decent work and economic growth"}],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":2,"referenced_works":["https://openalex.org/W2470673105","https://openalex.org/W2798413829"],"related_works":["https://openalex.org/W3125099825","https://openalex.org/W25115902","https://openalex.org/W2753408573","https://openalex.org/W4285147705","https://openalex.org/W1986338457","https://openalex.org/W2066844180","https://openalex.org/W4293192099","https://openalex.org/W4253553932","https://openalex.org/W3132513730","https://openalex.org/W2984525013"],"abstract_inverted_index":{"Risk":[0],"is":[1],"an":[2,47,50],"important":[3],"component":[4],"when":[5],"constructing":[6],"a":[7,88],"trading":[8,53],"strategy.":[9,54],"However,":[10],"most":[11],"of":[12,25,49,60],"the":[13,18,23,26,35,43,57,61,69,74],"previous":[14,62],"works":[15],"that":[16,68],"make":[17],"price":[19,97],"movement":[20,98],"prediction":[21],"on":[22,28,95],"basis":[24],"opinions":[27],"social":[29],"media":[30],"platforms":[31],"do":[32],"not":[33],"take":[34],"risk":[36],"into":[37],"consideration.":[38],"In":[39],"order":[40],"to":[41],"hedge":[42],"market-risk,":[44],"we":[45],"propose":[46],"idea":[48],"opinion-based":[51,96],"pair":[52],"Comparing":[55],"with":[56,73],"task":[58,76],"setting":[59,77],"works,":[63],"our":[64],"experimental":[65],"results":[66],"show":[67],"neural":[70],"network":[71],"models":[72],"pair-wise":[75],"perform":[78],"better":[79],"in":[80],"both":[81],"accuracy":[82],"and":[83],"profitability":[84],"metrics.":[85],"That":[86],"introduces":[87],"new":[89],"research":[90],"direction":[91],"for":[92],"future":[93],"researches":[94],"predictions.":[99]},"counts_by_year":[{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":3}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}