Analysis of Financial Markets' Fluctuation by Textual Information
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- Izumi Kiyoshi
- National Institute of Advanced Industrial Science and Technology/ PRESTO, JST
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- Goto Takashi
- The Bank of Tokyo-Mitsubishi UFJ, Ltd.
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- Matsui Tohgoroh
- Tohgoroh Machine Learning Research Institute
Bibliographic Information
- Other Title
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- テキスト情報による金融市場変動の要因分析
Abstract
In this study, we proposed a new text-mining methods for long-term market analysis. Using our method, we analyzed monthly price data of financial markets; Japanese government bond market, Japanese stock market, and the yen-dollar market. First we extracted feature vectors from monthly reports of Bank of Japan. Then, trends of each market were estimated by regression analysis using the feature vectors. As a result, determination coefficients were over 75%, and market trends were explained well by the information that was extracted from textual data. We compared the predictive power of our method among the markets. As a result, the method could estimate JGB market best and the stock market is the second.
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 25 (3), 383-387, 2010
The Japanese Society for Artificial Intelligence
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Details 詳細情報について
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- CRID
- 1390282680085695104
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- NII Article ID
- 130000259089
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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