An Analysis of Financial Markets by Text Mining
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- IZUMI Kiyoshi
- DHRC, National Institute of Advanced Industrial Science and Technology
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- GOTO Takashi
- The Bank of Tokyo-Mitsubishi UFJ, Ltd.
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- MATSUI Tohgoroh
- Faculty of Science and Technology, Tokyo University of Science
Bibliographic Information
- Other Title
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- テキスト情報による複数金融市場の分析
Abstract
<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>
Journal
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- JSAI Technical Report, Type 2 SIG
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JSAI Technical Report, Type 2 SIG 2009 (FIN-002), 11-, 2009-01-25
The Japanese Society for Artificial Intelligence
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Details 詳細情報について
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- CRID
- 1390576148375133952
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- ISSN
- 24365556
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- Text Lang
- ja
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- Data Source
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- JaLC
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- Abstract License Flag
- Allowed