・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
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