Research on financial information extraction and market impactevaluation for execution analysis

• Project/Area Number: 19024071
• Research Category: Grant-in-Aid for Scientific Research on Priority Areas
• Allocation Type: Single-year Grants
• Review Section: Science and Engineering
• Research Institution: National Institute of Advanced Industrial Science and Technology
• Principal Investigator: IZUMI Kiyoshi National Institute of Advanced Industrial Science and Technology, デジタルヒューマン研究センター, 主任研究員 (10356454)
• Project Period (FY): 2007 – 2008
• Project Status: Completed (Fiscal Year 2008)
• Budget Amount: ¥6,200,000 (Direct Cost: ¥6,200,000); Fiscal Year 2008: ¥3,100,000 (Direct Cost: ¥3,100,000); Fiscal Year 2007: ¥3,100,000 (Direct Cost: ¥3,100,000)
• Keywords: 人工市場 / エージェント / シミュレーション / テキストマイニング / 人工知能 / 情報システム / 意思決定支援 / マルチエージェント

Research Abstract

本研究の目的は、テキストマイニングと人工市場という2 つの情報技術の融合により、金融実務者の市場での売買執行を支援する手法を開発することである。開発した金融データ分析の2つの新手法のアルゴリズム(テキストマイニングと人工市場シミュレーション)を基にして実装を行った。実際の金融データを用いて、提案アルゴリズムを評価した結果、既存の数値分析手法に比べ市場分析の推定精度を平均48.42%、最大74.03%改善することに成功した。

Research Products

• [Journal Article] 現実の金融市場へ近づく人工市場 (2009)
  • Author(s): 和泉 潔, 鳥海 不二夫, 松井 宏樹
  • Journal Title: 人工知能学会誌 24 巻3 号 Pages: 408-415
  • Peer Reviewed
• [Journal Article] 人工市場とエージェントの取引戦略 (2008)
  • Author(s): 和泉潔・鳥海不二夫・松井藤五郎
  • Journal Title: 知能と情報 Vol. 20, No.4 Pages: 609-615
  • NAID: 110006862958
  • Peer Reviewed
• [Journal Article] 人工市場とエージェントの取引戦略 (2008)
  • Author(s): 和泉 潔, 鳥海 不二夫, 松井 藤五郎
  • Journal Title: 知能と情報 20(4) Pages: 609-615
  • NAID: 110006862958
  • Peer Reviewed
• [Journal Article] Integration of Artificial Market Simulation and Text Mining for Market Analysis (2007)
  • Author(s): K. Izumi, H. Matsui, and Y. Matsuo
  • Journal Title: Soft Computing Volume 11, Number 12 Pages: 1199-1205
  • NAID: 10022007797
  • Peer Reviewed
• [Journal Article] 人工市場とテキストマイニングの融合による市場分析 (2007)
  • Author(s): 和泉 潔,松井 宏樹,松尾 豊
  • Journal Title: 人工知能学会誌 22 巻4 号 Pages: 397-404
  • NAID: 10022007797
  • Peer Reviewed
• [Journal Article] Analysis of Efficiency and Accuracy of Learning in Minority Games, New Frontiers in Artificial Intelligence (2007)
  • Author(s): K. Izumi
  • Journal Title: Lecture Note in Computer Science Vol. 3609 Pages: 103-113
  • Peer Reviewed
• [Journal Article] Integration of artificial market simulation and text mining for market a nalysis (2007)
  • Author(s): K.Izumi, H.Matsui, and Y.Matsuo
  • Journal Title: Soft Computing 11 Pages: 1199-1205
  • Peer Reviewed
• [Journal Article] Analysis of Efficiency and Accuracy of Learning in Minority Games (2007)
  • Author(s): K.Izumi
  • Journal Title: New Frontiers in Artificial Intelligence 3609 Pages: 103-113
  • Peer Reviewed
• [Journal Article] 人工市場とテキストマイニングの融合による市場分析 (2007)
  • Author(s): 和泉 潔, 松井 宏樹, 松尾 豊
  • Journal Title: 人工知能学会誌 22 Pages: 397-404
  • NAID: 10022007797
  • Peer Reviewed
• [Journal Article] Evaluation of Automated Trading Strategies Using an Artificial Market
  • Author(s): K. Izumi, F. Toriumi, and H. Matsui
  • Journal Title: NeuroComputing (to appear)
  • Peer Reviewed
• [Presentation] Long-Term Market Analysis using Text Mining (2008)
  • Author(s): K. Izumi, T. Goto, T. Matsui
  • Organizer: The 7th International Conference on Computational Intelligence in Economics and Finance
  • Place of Presentation: 台湾
  • Year and Date: 2008-12-06
• [Presentation] Long-Term Market Analysis using Text Mining (2008)
  • Author(s): K. Izumi, T. Goto, T. Matsui
  • Organizer: The 7th International Conference on Computational Intelligence in Economics and Finance
  • Place of Presentation: 桃園県, 台湾
  • Year and Date: 2008-12-06
• [Presentation] テキスト情報を用いた金融市場分析の試み (2008)
  • Author(s): 和泉潔, 後藤卓, 松井藤五郎
  • Organizer: 2008 年度人工知能学会全国大会
  • Place of Presentation: 旭川
  • Year and Date: 2008-06-11
• [Presentation] テキスト情報を用いた金融市場分析の試み (2008)
  • Author(s): 和泉潔, 後藤卓, 松井藤五郎
  • Organizer: 2008年度人工知能学会全国大会
  • Place of Presentation: 旭川
  • Year and Date: 2008-06-11
• [Presentation] Market Impact Analysis by Socially Embedded Multi Agent Simulation (2007)
  • Author(s): K. Izumi, H. Matsui, and Y. Matsuo
  • Organizer: Eleventh International Conference on the Enhancement and Promotion of Computational Methods in Engineering and Science
  • Place of Presentation: 京都
  • Year and Date: 2007-12-03
• [Presentation] Market Impact Analysis by Socially Embedded Multi Agent Simulation (2007)
  • Author(s): K. Izumi, H. Matsui, and Y. Matsuo
  • Organizer: Eleventh International Conference on the Enhancement and Promotion of Computational Methodsin Engineering and Science
  • Place of Presentation: 京都
  • Year and Date: 2007-12-03
• [Presentation] Artificial Market 2.0: From Simulation to Service (2007)
  • Author(s): K. Izumi, F. Toriumi, and H. Matsui
  • Organizer: The Fifth International Workshop on Agent-based Approaches in Economic and Social Complex Systems
  • Place of Presentation: 東京
  • Year and Date: 2007-08-29
• [Presentation] Analysis of Market Impact Caused by Automated Trading (2007)
  • Author(s): F. Toriumi, K. Izumi, and H. Matsui
  • Organizer: 14th International Conference on Economics and Finance
  • Place of Presentation: フランス
  • Year and Date: 2007-06-26
• [Remarks] 論文一覧
  • URL: http://kinba.sakura.ne.jp/