SIG-FIN-012-10

2014-01-22 (水) 07:59:10 (1396d) | Topic path: Top / SIG-FIN-012-10

第12回研究会

ブログ上の単語出現頻度と株価の関係性の定量評価

著者

渡邊隼史, セーヨ―サンティ, 山田健太, 内山幸樹(株式会社ホットリンク)

概要

To clarify connections between social media data and nancial market data, we studied the quantitative evaluations of relations between time series of word appearances on Japanese blogs and those of stock prices. In particular, we proposed the method of comparison of some correlation indices such as the Spearman's rank correlation coefficient, based on the man-made related stock information. We found that the Spearman's rank correlation coefficients over time series of 562 keywords can hardly pick the correct combinations of related stocks out the pool of more than 3,000 stocks on the Tokyo Stock Exchange. However, we show that the composite correlation indicators, which re ect multiple features of the time series, can pick the correct stocks up to a certain level of statically signi cant.

論文

fileSIG-FIN-012-10.pdf

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