著者

許 蔚然 江口 浩二

出版者

一般社団法人 人工知能学会

雑誌

人工知能学会第二種研究会資料 (ISSN:24365556)

巻号頁・発行日

vol.2020, no.FIN-024, pp.177, 2020-03-14 (Released:2022-11-25)

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In this paper, we aim to predict stock prices by analyzing text data in financial articles. TopicVec is a topic embedding model that represents latent topics in a word embedding space. Here, word embedding maps words into a low-dimensional continuous embedding space by exploiting the local word collocation patterns in a small context window. On the other hand, topic modeling maps documents onto a low-dimensional topic space. Using the topic embedding model, topics underlying each document can be mapped into the word embedding space by combining word embedding and topic modeling. The topic embedding model has not been used to address regression problem and also has not been used to predict stock prices by analyzing financial articles, to our knowledge. In this paper, by extending the topic embedding model to regression, we propose a topic embedding regression model called TopicVec-Reg to jointly model each document and a continuous label associated with the document. Our method takes financial articles as documents, each of which is associated with a stock price return as a continuous label, so that we can predict stock price returns for new unlabeled financial articles. We evaluate the effectiveness of TopicVec-Reg through experiments in the task of stock return prediction using news articles provided by Thomson Reuters and stock prices by the Tokyo Stock Exchange. The result of closed test shows that our method brought meaningful improvement on prediction performance.