Out-of-Sample Test of Text Mining in Financial Markets

Abstract

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.