テキスト情報による金融市場の逐次外挿予測

DOI

書誌事項

タイトル別名
  • Out-of-Sample Test of Text Mining in Financial Markets

抄録

<p>In this study, we proposed a new text-mining methods for long-term market analysis. Using our method, we perfomed out-of-sample test using 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, As a result, the method could estimate JGB market best and the stock market is the second.</p>

収録刊行物

詳細情報 詳細情報について

  • CRID
    1390857623351839744
  • DOI
    10.11517/jsaisigtwo.2009.fin-003_02
  • ISSN
    24365556
  • 本文言語コード
    ja
  • データソース種別
    • JaLC
  • 抄録ライセンスフラグ
    使用可

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