テキスト情報による複数金融市場の分析
書誌事項
- タイトル別名
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- An Analysis of Financial Markets by Text Mining
抄録
<p>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. Finally, we carried out sequential prediction test in changing the forecast horizon. As a result, the effective forecast horizon of our method was shorter than 3 months.</p>
収録刊行物
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- 人工知能学会第二種研究会資料
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人工知能学会第二種研究会資料 2009 (FIN-002), 11-, 2009-01-25
一般社団法人 人工知能学会
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詳細情報 詳細情報について
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- CRID
- 1390576148375133952
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- ISSN
- 24365556
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- 本文言語コード
- ja
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- データソース種別
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- JaLC
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- 抄録ライセンスフラグ
- 使用可