Forecasting and Trading Simulation of Financial Indicators Using Newspapers and Stock Bulletin Boards

Abstract

In recent years, there has been an increasing demand for people's investment behavior through stock investments in order to build individual assets. In stock investment, predicting future market trends is important for investors to reduce their investment risk and to make profits. One of the financial indicators is the volatility index (hereinafter referred to as VI), which represents investors' psychological state toward the market. On the other hand, newspaper media and social media posts represent social conditions and people's psychological states, which may affect the VI. In this study, we predict an increase in the Nikkei 225 VI, the VI in Japan, using newspaper articles and social media posts. Furthermore, in order to verify the usefulness of this study, we conduct a simulation of trading in options using the predicted VI. As a result, we confirmed that the use of both media improved the accuracy of forecasting the rise of the Nikkei 225 VI, and the trading simulation also confirmed its usefulness for profit.