An Analysis of Financial Markets by Text Mining

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Other Title
  • 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>

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