Is Stock BBS Content Correlated with the Stock Market?-A Japanese Case

被引：3
|
作者：
Maruyama, Ken [1 ]
Umehara, Eiichi [2 ]
Suwa, Hirohiko [3 ]
Ohta, Toshizumi [3 ]
机构：
[1] Next Solut Inc, Tokyo, Japan
[2] Nomura Res Inst, Tokyo, Japan
[3] Univ Electrocommun, Grad Sch Informat Syst, Tokyo, Japan
来源：
2009 IEEE INTERNATIONAL CONFERENCE ON SYSTEMS, MAN AND CYBERNETICS (SMC 2009), VOLS 1-9 | 2009年
关键词：
stock market; stock BBS; support vector machine; natural language processing; machine learning; NOISE; TALK;
D O I：
10.1109/ICSMC.2009.5346768
中图分类号：
TP3 [计算技术、计算机技术];
学科分类号：
0812 ;
摘要：
We analyze the relations between the stock market and a stock bulletin board system (BBS) in Japan. Previous studies in the USA found that the characteristics of messages posted on stock BBSs can predict market volatility and trading volume. We develop hypotheses based on the results of those analyses and apply statistical analysis to the data about companies mentioned in a large number of messages posted on the Yahoo! stock message board in Japan in 2005-2006. We analyze the contents of these messages using natural language processing. We find a significant correlation between the number of postings and market volatility and trading volume, and also find significant correlation between the amount of bullish and bearish opinion and the stock return.
引用
收藏
页码：4601 / +
页数：2
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