Analysis of Financial Markets' Fluctuation by English Textual Information and extrapolation forecast
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- YONO Kyoto
- The University of Tokyo
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- IZUMI Kiyoshi
- The University of Tokyo PRESTO, JST
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- GOTO Takashi
- The Bank of Tokyo-Mitsubishi UFJ, Ltd
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- MATSUI Tohgoroh
- Chubu University
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- CHEN Yu
- The University of Tokyo
Bibliographic Information
- Other Title
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- 英文経済レポートのテキストマイニング分析と外挿予測
Abstract
<p>In this study, we applied the newly developed text-mining methods to English texts for the long-term market analyses. We analyzed monthly price data of foreign financial markets, in particular, the interest swap markets. Several extensions of the original method were suggested in order to extract English feature vectors from minutes of the monetary policy committee of The Bank of England. Trends of interest rates were estimated by using the regression analysis with the feature vectors. As a result, determination coefficients were found around 75%, and market trends were explained well. Using the predicted interest rates, we also simulated several implementation tests, which demonstrate the effectiveness of our extensions of the original method to English texts.</p>
Journal
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- JSAI Technical Report, Type 2 SIG
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JSAI Technical Report, Type 2 SIG 2010 (FIN-005), 07-, 2010-10-02
The Japanese Society for Artificial Intelligence
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Details 詳細情報について
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- CRID
- 1390857623351855872
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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