人工知能学会論文誌
速報論文
テキスト分析による金融取引の実評価
和泉 潔後藤 卓松井 藤五郎
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ジャーナル フリー

26 巻 (2011) 2 号 p. 313-317

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In this study, we propose a new text-mining method for long-term market analysis. Using our method, we performe out-of-sample tests using monthly price data of financial markets; Japanese government bond market, Japanese stock market, and the yen-dollar market. First we extract feature vectors from monthly reports of Bank of Japan. Then, trends of each market are estimated by regression analysis using the feature vectors. As a result of comparison with support vector regression, the proposal method could forecast in higher accuracy about both the level and direction of long-term market trends. Moreover, our method showed high returns with annual rate averages as a result of the implementation test.

著者関連情報
© 2011 JSAI (The Japanese Society for Artificial Intelligence)
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