| Presentation | 2008-09-16 An Analysis of Monthly Price Data by a New Text Mining Method Kiyoshi IZUMI, Takashi GOTO, Tohgoroh MATSUI, |
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| PDF Download Page |  PDF download Page Link |
| Abstract(in Japanese) | (See Japanese page) |
| Abstract(in English) | In this study, we proposed a new text-mining methods for long-term market analysis. Using our method, we analysed monthly price data of Japanese government bond market. First we extracted feature vectors from monthly reports of Bank of Japan. Then, trends of the JGB 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. Finally, we compared the predictive power of textual data with that of numerical data. As a result, Our text mining method had prediction power superior to the numerical data analysis. |
| Keyword(in Japanese) | (See Japanese page) |
| Keyword(in English) | Text mining / Bond market / Out-of-sample forecast / Regression analysis |
| Paper # | AI2008-18 |
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| Conference Information | |
| Committee | AI |
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| Conference Date | 2008/9/9(1days) |
| Place (in Japanese) | (See Japanese page) |
| Place (in English) | |
| Topics (in Japanese) | (See Japanese page) |
| Topics (in English) | |
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| Paper Information | |
| Registration To | Artificial Intelligence and Knowledge-Based Processing (AI) |
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| Language | JPN |
| Title (in Japanese) | (See Japanese page) |
| Sub Title (in Japanese) | (See Japanese page) |
| Title (in English) | An Analysis of Monthly Price Data by a New Text Mining Method |
| Sub Title (in English) | |
| Keyword(1) | Text mining |
| Keyword(2) | Bond market |
| Keyword(3) | Out-of-sample forecast |
| Keyword(4) | Regression analysis |
| 1st Author's Name | Kiyoshi IZUMI |
| 1st Author's Affiliation | DHRC, National Institute of Advanced Industrial Science and Technology() |
| 2nd Author's Name | Takashi GOTO |
| 2nd Author's Affiliation | The Bank of Tokyo-Mitsubishi UFJ, Ltd. |
| 3rd Author's Name | Tohgoroh MATSUI |
| 3rd Author's Affiliation | Faculty of Science and Technology, Tokyo University of Science |
| Date | 2008-09-16 |
| Paper # | AI2008-18 |
| Volume (vol) | vol.108 |
| Number (no) | 208 |
| Page | pp.pp.- |
| #Pages | 4 |
| Date of Issue | |