- 著者
- Takashi MATSUBARA Ryo AKITA Kuniaki UEHARA
- 出版者
- The Institute of Electronics, Information and Communication Engineers
- 雑誌
- IEICE Transactions on Information and Systems (ISSN:09168532)
- 巻号頁・発行日
- vol.E101.D, no.4, pp.901-908, 2018-04-01 (Released:2018-04-01)
- 参考文献数
- 31
- 被引用文献数
- 35
In this study, we propose a deep neural generative model for predicting daily stock price movements given news articles. Approaches involving conventional technical analysis have been investigated to identify certain patterns in past price movements, which in turn helps to predict future price movements. However, the financial market is highly sensitive to specific events, including corporate buyouts, product releases, and the like. Therefore, recent research has focused on modeling relationships between these events that appear in the news articles and future price movements; however, a very large number of news articles are published daily, each article containing rich information, which results in overfitting to past price movements used for parameter adjustment. Given the above, we propose a model based on a generative model of news articles that includes price movement as a condition, thereby avoiding excessive overfitting thanks to the nature of the generative model. We evaluate our proposed model using historical price movements of Nikkei 225 and Standard & Poor's 500 Stock Index, confirming that our model predicts future price movements better than such conventional classifiers as support vector machines and multilayer perceptrons. Further, our proposed model extracts significant words from news articles that are directly related to future stock price movements.
- 著者
- Kazuki Fujikawa Kazuhiro Seki Kuniaki Uehara
- 雑誌
- 研究報告バイオ情報学(BIO)
- 巻号頁・発行日
- vol.2013-BIO-34, no.12, pp.1-4, 2013-06-20
More and more biomedical documents are digitally written and stored. To make the most of the rich resources, it is crucial to precisely locate the information pertinent to user's interests. An obstacle in finding information in natural language text is negations, which deny or reverse the meaning of a sentence. This is especially problematic in the biomedical domain since scientific findings and clinical records often contain negated expressions to state negative effects or the absence of symptoms. This paper reports on our work on a hybrid approach to negation identification combining statistical and heuristic approaches and describes an implementation of the approach, named NegFinder, as a Web service.