Text analysis system for measuring the influence of news articles on intraday price changes in financial markets

Keiichi Goshima, Hiroshi Takahashi

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

1 Citation (Scopus)

Abstract

This study constructs a text analysis system for analyzing financial markets. This system enables us to investigate the influence of news article on intraday price changes. In this study, we examine the automobile companies in Japan to analyze the relationship between news articles and stock price reactions. As a result of empirical analyses, we confirmed that stock prices reflect news information in a timely manner. These results are suggestive from both academic and practical view points. More detailed analyses are planned for the future.

Original languageEnglish
Title of host publicationAgent and Multi-Agent Systems: Technology and Applications - 10th KES International Conference, KES-AMSTA 2016, Proceedings
PublisherSpringer Science and Business Media Deutschland GmbH
Pages341-348
Number of pages8
Volume58
ISBN (Print)9783319398822
DOIs
Publication statusPublished - 2016
Event10th KES International Conference on Agent and Multi-Agent Systems: Technology and Applications, KES-AMSTA 2016 - Puerto de la Cruz, Tenerife, Spain
Duration: 2016 Jun 152016 Jun 17

Publication series

NameSmart Innovation, Systems and Technologies
Volume58
ISSN (Print)21903018
ISSN (Electronic)21903026

Other

Other10th KES International Conference on Agent and Multi-Agent Systems: Technology and Applications, KES-AMSTA 2016
CountrySpain
CityPuerto de la Cruz, Tenerife
Period16/6/1516/6/17

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Keywords

  • Asset management business
  • Asset pricing
  • Finance
  • Market micro structure
  • Natural language processing
  • Text mining

ASJC Scopus subject areas

  • Computer Science(all)
  • Decision Sciences(all)

Cite this

Goshima, K., & Takahashi, H. (2016). Text analysis system for measuring the influence of news articles on intraday price changes in financial markets. In Agent and Multi-Agent Systems: Technology and Applications - 10th KES International Conference, KES-AMSTA 2016, Proceedings (Vol. 58, pp. 341-348). (Smart Innovation, Systems and Technologies; Vol. 58). Springer Science and Business Media Deutschland GmbH. https://doi.org/10.1007/978-3-319-39883-9_28