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Paper Abstract and Keywords
Presentation 2008-09-16 11:20
Analysys of Monthly Price Data using Text Data
Kiyoshi Izumi (AIST), Takashi Goto (BTMU), Tohgoroh Matsui (TUS) AI2008-18
Abstract (in Japanese) (See Japanese page) 
(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) 
(in English) Text mining / Bond market / Out-of-sample forecast / Regression analysis / / / /  
Reference Info. IEICE Tech. Rep., vol. 108, no. 208, AI2008-18, pp. 13-16, Sept. 2008.
Paper # AI2008-18 
Date of Issue 2008-09-09 (AI) 
ISSN Print edition: ISSN 0913-5685    Online edition: ISSN 2432-6380
Copyright
and
reproduction		 All rights are reserved and no part of this publication may be reproduced or transmitted in any form or by any means, electronic or mechanical, including photocopy, recording, or any information storage and retrieval system, without permission in writing from the publisher. Notwithstanding, instructors are permitted to photocopy isolated articles for noncommercial classroom use without fee. (License No.: 10GA0019/12GB0052/13GB0056/17GB0034/18GB0034)
Download PDF AI2008-18

Conference Information
Committee AI  
Conference Date 2008-09-16 - 2008-09-16 
Place (in Japanese) (See Japanese page) 
Place (in English) Kyoto Univ. Clock Tower 
Topics (in Japanese) (See Japanese page) 
Topics (in English) Social Interaction and Intelligence, etc. 
Paper Information
Registration To AI 
Conference Code 2008-09-AI 
Language Japanese 
Title (in Japanese) (See Japanese page) 
Sub Title (in Japanese) (See Japanese page) 
Title (in English) Analysys of Monthly Price Data using Text Data 
Sub Title (in English)  
Keyword(1) Text mining  
Keyword(2) Bond market  
Keyword(3) Out-of-sample forecast  
Keyword(4) Regression analysis  
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1st Author's Name Kiyoshi Izumi  
1st Author's Affiliation National Institute of Advanced Industrial Science and Technology (AIST)
2nd Author's Name Takashi Goto  
2nd Author's Affiliation Bank of Tokyo-Mitsubishi UFJ (BTMU)
3rd Author's Name Tohgoroh Matsui  
3rd Author's Affiliation Tokyo University of Science (TUS)
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Speaker Author-1 
Date Time 2008-09-16 11:20:00 
Presentation Time 25 minutes 
Registration for AI 
Paper # AI2008-18 
Volume (vol) vol.108 
Number (no) no.208 
Page pp.13-16 
#Pages 4 
Date of Issue 2008-09-09 (AI) 

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