Implementation Tests of Financial Market Analysis by Text Mining
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- Izumi Kiyoshi
- School of Engineering, The Univ. of Tokyo & PRESTO, JST
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- Goto Takashi
- The Bank of Tokyo-Mitsubishi UFJ, Ltd.
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- Matsui Tohgoroh
- College of Life and Health Sciences & College of Engineering, Chubu University
Bibliographic Information
- Other Title
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- テキスト分析による金融取引の実評価
Abstract
In this study, we propose a new text-mining method for long-term market analysis. Using our method, we performe out-of-sample tests using monthly price data of financial markets; Japanese government bond market, Japanese stock market, and the yen-dollar market. First we extract feature vectors from monthly reports of Bank of Japan. Then, trends of each market are estimated by regression analysis using the feature vectors. As a result of comparison with support vector regression, the proposal method could forecast in higher accuracy about both the level and direction of long-term market trends. Moreover, our method showed high returns with annual rate averages as a result of the implementation test.
Journal
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- Transactions of the Japanese Society for Artificial Intelligence
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Transactions of the Japanese Society for Artificial Intelligence 26 (2), 313-317, 2011
The Japanese Society for Artificial Intelligence
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Details 詳細情報について
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- CRID
- 1390001205108269696
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- NII Article ID
- 130000455380
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- ISSN
- 13468030
- 13460714
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- Text Lang
- ja
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- Data Source
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- JaLC
- Crossref
- CiNii Articles
- KAKEN
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- Abstract License Flag
- Disallowed