[株にゅ] サーベイその2

| コメント(1511) | トラックバック(0)

・ヘッドラインニュースに対する株価の反応について
http://www.iser.osaka-u.ac.jp/rcbe/6thworkshop/presentationHP.pdf/SatoruTakahashi070210.pdf

かなり思ってたことに近くて,ほぼ一致してる感じです.
偉い先生が書いてはるし,内容もかなり信用できそう.
ちなみに連名の最後の先生の名前どっかで見たなーと思ったら
情報検索アルゴリズムの本の著者でした.

簡単に言うと,(多分)ヘッドラインニュースを
形態素解析(文章を品詞の並びに分解すること)して,
名詞だけのベクトルを作ってナイーブベイズで分類してるんだと思う.
結果,80%程度の分類が出来て,
(良いニュースは90%,悪い&中立ニュースは70%弱で分類可)
そのニュースごとの,ニュースが出た時点前後の
株価に与える影響には有意な差がありました,と言う感じ.
具体的な分類に使われてる素性については
何も書かれてないから言及出来ないんだけど,
でも結果は面白いと思うし,検定もされてるし信用したい.
聞いたら教えてくれるのかな.

気になったのは,悪いニュースの分類結果が悪いこと.
まぁ,70%でしか分類出来ないんなら
悪いニュースに関しては利用しないって手もあるんだけど.
売りから入れた方がチャンスは倍なのになぁ,とは思うので.
単純に悪いニュースデータの量の少なさが原因なんだろうか.

あと日単位しかやってないやってないって言うのが惜しい.
理想的にはニュースが発生した時点で判定機にかけて,
買いか売りか待ちを判断出来るようなシステムが出来れば嬉しい.
そのためには日単位の分析だけじゃなくて,
それこそ分単位の値動きを取って反応をどれだけ追えるか
見てみたいなって思います.
取引時間中に決算が出るパターンとか,見たら面白いだろうなぁ.

さっきも書いたけどニュースの重複問題ってのがあります.
このレポートでも改善案が書かれてるけど,
実際どこまで取り除けるんだろうか.
同じニュースが繰り返し更新されて重複したりすると
そのニュースに関して大きなバイアスがかかっちゃうもんね.
改善案適用後のデータを見ると,適用後は適用前に比べて
変動幅が小さくなってるのがわかります.
あと良いニュースよりも悪いニュースの方が幅が広い(儲けがでかい)
ただ,分類器の精度が悪いからこのまま使うのはちょっと怖い.
一度自分の目で見ないことにはなんともなぁ.

最後に,ニュースの発表前から,ニュースの良し悪しによって
既に株価が動いてるんですよね.
つまり,良いニュースが出る前から株価は上がってきてるし
(出た後も株価は継続して上がる)
悪いニュースが出る前から株価は下がってきてます.
(出た後も株価は継続して下がる)
逆に値動きから,ニュースの発表予想をするってのも面白そう.
発表時点が一番大きく動く瞬間なことには変わりないから,
「ニュースが出ることを予想」
出来ればそのポイントで一気に稼げそうな気がするなぁ.
むむむ.面白い.

今後の課題として書かれてたもの.どれも面白そうです.
・ニュース分類方法の高度化
→SVMとか使うだけでよくなったりして.でも時間かかるよな…
・ニュース分類と株価リターンによる詳細な分析
→分類に使われた言葉とかをもっと見ると,変動幅の予測まで出来そう
→大ちゃんとの話にも出て来たように,2つのSVMを組み合わせる
って形までいけるのが理想的なのかなぁ.
・業種等の属性を利用した詳細な分析
・アナリストレポートのテキスト情報と組み合わせた分析
・会計情報等の数値データを組み合わせた分析
・イントラディの株価を利用し,日中のニュース効果を分析

トラックバック(0)

トラックバックURL: http://blog.mantol.net/mt/mt-tb.cgi/2839

コメント(1511)

I thought it was going to be some boring old post, but I'm glad I visited. I will post a link to this page on my blog. I am sure my visitors will find that very useful.

What a lovely day for a 4839698! SCK was here

Hey there, I've found this really cool wordpress plugin, which has helped make me loads of money through affiliate sales, being a blog owner I thought you might be interested. Good luck earning :)

howdy, fantastic web site you acquired here, i will bookmark it for later on on

What a lovely day for a 2174664! SCK was here

hello there and beneficial night, just wished to drop by and say hello there. We've a web site about gps watches.

i was posting this topic on my blog too, this is really nice and interesting to my blog followers.

There are certainly a whole lot of particulars like that to take into consideration. That is a nice point to deliver up. I offer the ideas above as basic inspiration however clearly there are questions like the one you convey up where crucial thing will likely be working in sincere good faith. I don?t know if greatest practices have emerged round things like that, however I am positive that your job is clearly identified as a fair game. Both girls and boys really feel the impact of only a momentís pleasure, for the remainder of their lives.

Aw, this was a really nice post. In idea I would like to put in writing like this additionally – taking time and actual effort to make a very good article… but what can I say… I procrastinate alot and by no means seem to get something done.

Thank you for another wonderful weblog.In which else could I get this sort of information composed in such an incite complete way? I've a project that I'm just now doing work on, and i am certain this can aid me a great deal..and I've been seeking this kind of material since from few days....Thanks!!!!!

Hi there! Great post! But the blog has been loading pretty slowly.

The mass of high quality content on this site has totally made me understand the massive authority your site has. Mind blowing posts and articles in every corner. Keep it up.

I used to be very happy to seek out this net-site.I wanted to thanks to your time for this excellent read!! I definitely enjoying every little little bit of it and I have you bookmarked to take a look at new stuff you weblog post.

Jack of all trades, master of none

The amount of top quality content on your fantastic site has indeed made me understand the massive authority your site has. Great posts and articles seemingly everwhere. Keep up the good work.

These are typically excellent hints we will try outside, I am grateful I ran into them. Many thanks.

Could I just say such a relief to find person who actually knows exactly what they are talking about on the internet. You certainly get experience to take a major issue to light and make it essential. Even more people need to learn this particular and know it all aspect of the story. I cannot believe you aren't more popular as you essentially have the gift.

Regards for sharing [株にゅ] サーベイその2 - まんとるの壷どっとねっと with us keep update bro love your article about [株にゅ] サーベイその2 - まんとるの壷どっとねっと .

Hello. I desired to decrease you a quick word to state my personal many thanks. I have already been following weblog for any 30 days approximately and also have picked up a lot of very good data and enjoyed the strategy you have organised your own web site. I'm making an attempt to run my very personal blog nonetheless I believe its as well general as well as I have to focus on a variety of smaller subjects. Being all problems to any or all people seriously isn't everything it's damaged up to be

We cherished just as much as a person'll obtain completed the following. The actual design is stylish, your authored substance stylish. nevertheless, an individual control obtain purchased a good edginess over that you want end up being submiting the next. inside poor health undoubtedly appear much more formerly once again since exactly the related almost a great deal nonstop inside of situation you defend this hike.

We seemed to be privy to this already, nonetheless there was clearly several useful bits which done the picture personally, many thanks!

Thanks, I have recently been searching for information about this particular topic for a long time as well as your own is the better There are up to now.

It surely does take quite some time to find great information like this. Thanks a lot.

Hello! Great stuff, please keep me posted when you post something like this!

"Pretty! This was a really wonderful post. Thank you for your provided information."

My brother recommended I might like this web site. He was totally right. This post actually made my day. You cann't imagine just how much time I had spent for this information! Thanks!

I think other web-site proprietors should take this site as an model, very clean and great user genial style and design, as well as the content. You're an expert in this topic!

I’ve read several good stuff here. Certainly worth bookmarking for revisiting. I wonder how much effort you put to create such a magnificent informative website.

Those are yours alright! . We at least need to get these people stealing images to start blogging! They probably just did a image search and grabbed them. They look good though!

I just couldn't depart your site prior to suggesting that I actually enjoyed the standard info a person provide for your visitors? Is gonna be back often to check up on new posts

As I website possessor I believe the content matter here is rattling fantastic , appreciate it for your efforts. You should keep it up forever! Best of luck.

What a lovely day for a 1605530! SCK was here

I know this if off topic but I'm looking into starting my own blog and was curious what all is needed to get set up? I'm assuming having a blog like yours would cost a pretty penny? I'm not very web savvy so I'm not 100% positive. Any recommendations or advice would be greatly appreciated. Thanks

You've made quite a few significant points. I don't know if we see eye to eye on everything, but then again, who does? I have to explore it more. Nice article anyhow, kudos and ta ta! (Added this to FeedBurner, so enjoy! :))

What's up, I have to appreciate a new autor to the web property. Practically all is clear together with worthwhile. The look may well also be impressive for my part. Do you please be sure to phon my vision currently format you take advantage of? thank-you ever again and so proceed with the truly amazing employment.

Simply desire to say your article is as astonishing. The clearness in your post is just excellent and i could assume you are an expert on this subject. Well with your permission let me to grab your feed to keep up to date with forthcoming post. Thanks a million and please carry on the gratifying work.

I just want to thank you for sharing your views and this information. I was glad when I landed here and saw the time you put into your blog. People could learn a lot from the way you present it and write. Thanks!!

I was looking through StumbleUpon for blogs on this very issue so I really enjoyed your well written post. I enjoyed your writing manner and have subscribed to your feed so I can read future pieces on this and other matters.

Hi, i read your blog from time to time and i own a similar one and i was just curious if you get a lot of spam feedback? If so how do you reduce it, any plugin or anything you can suggest? I get so much lately it's driving me crazy so any support is very much appreciated.

Howdy! This is my first visit to your blog! We are a group of volunteers and starting a new initiative in a community in the same niche. Your blog provided us beneficial information to work on. You have done a outstanding job!

Have you ever considered creating an e-book or guest authoring on other blogs? I have a blog based on the same ideas you discuss and would love to have you share some stories/information. I know my audience would enjoy your work. If you're even remotely interested, feel free to send me an e-mail.

i like your sharing style. Convey. I want to send this link to Julio also, because its interesting for us. you know. have a great sunny week!

Its like you read my own thoughts! You seem to know so much about it, like you wrote the book in it or something. I'm sure that you can do with a few pics to drive the message home a little bit, but instead of that, this is exactly wonderful web site. A good read. I'll certainly be back again.

you might have an amazing blog right here! would you like to make some invite posts on my weblog?

This is very interesting, You are a very skilled blogger. I've joined your feed and look forward to seeking more of your wonderful post. Also, I have shared your web site in my social networks! Miss Adult Magazines

Music began playing as soon as I opened up this web-site, so irritating! Miss hair feathers

Hi,

ich habe Ihre Webseite bei der Suche nach Inhalationsgeräten im Internet gefunden. Schauen Sie doch mal auf meiner Seite vorbei, ich habe dort viele Testberichte zu den aktuellen Inhalationsgeräten geschrieben.

Fantastic write-up, very informative. I wonder why the other gurus of this sector do not notice this. You must keep on your posting. I’m confident, you have a huge readers’ base now!

You can certainly see your enthusiasm in the work you write. The earth hopes for more passionate writers like you who aren’t worried to say how they believe. Always follow your heart.

I was just looking for this information for some time. After 6 hours of continuous Googleing, at last I got it in your web site. I wonder what is the lack of Google strategy that do not rank this kind of informative web sites in top of the list. Generally the top web sites are full of garbage.

コメントする

ウェブページ

Powered by Movable Type 5.02

このブログ記事について

このページは、まんとるが2008年2月11日 23:17に書いたブログ記事です。

ひとつ前のブログ記事は「[株にゅ] サーベイその1」です。

次のブログ記事は「[株にゅ] サーベイその3」です。

最近のコンテンツはインデックスページで見られます。過去に書かれたものはアーカイブのページで見られます。