Analysis of stock price return using textual data and numerical data through text mining

Satoru Takahashi, Masakazu Takahashi, Hiroshi Takahashi, Kazuhiko Tsuda

Research output: Chapter in Book/Report/Conference proceedingConference contribution

4 Citations (Scopus)

Abstract

In finance task domain, it is indispensable to get and analyze information as quickly as possible. Analyst's reports are one of the important information in asset management, and these include a large amount of text information. However, it is very difficult to handle text information of analyst's reports, few research and development have been conducted. In [5] and [6] we explored the feasibility to extract valuable knowledge for asset management through text mining using analyst's reports as text data. And we found the effectiveness of keyword information. In this paper we make further research of analyst's reports. From empirical study on the practical data, we have confirmed the effectiveness of using keyword information and numerical information together: (1) the effectiveness of keyword information is different by the direction of change of earning estimate; (2) the keyword of "Upward (or Downward) surprise in forecast" has strong effect to stock price return.

Original languageEnglish
Title of host publicationKnowledge-Based Intelligent Information and Engineering Systems - 10th International Conference, KES 2006, Proceedings
PublisherSpringer Verlag
Pages310-316
Number of pages7
ISBN (Print)3540465375, 9783540465379
Publication statusPublished - 2006 Jan 1
Externally publishedYes
Event10th International Conference on Knowledge-Based Intelligent Information and Engineering Systems, KES 2006 - Bournemouth, United Kingdom
Duration: 2006 Oct 92006 Oct 11

Publication series

NameLecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
Volume4252 LNAI - II
ISSN (Print)0302-9743
ISSN (Electronic)1611-3349

Other

Other10th International Conference on Knowledge-Based Intelligent Information and Engineering Systems, KES 2006
CountryUnited Kingdom
CityBournemouth
Period06/10/906/10/11

ASJC Scopus subject areas

  • Theoretical Computer Science
  • Computer Science(all)

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  • Cite this

    Takahashi, S., Takahashi, M., Takahashi, H., & Tsuda, K. (2006). Analysis of stock price return using textual data and numerical data through text mining. In Knowledge-Based Intelligent Information and Engineering Systems - 10th International Conference, KES 2006, Proceedings (pp. 310-316). (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics); Vol. 4252 LNAI - II). Springer Verlag.