Analysis of the Relation Between Stock Price Returns and Headline News Using Text Categorization

  • Authors:

  • Satoru Takahashi;Masakazu Takahashi;Hiroshi Takahashi;Kazuhiko Tsuda

  • Affiliations:

  • Mitsui Asset Trust and Banking Co., Ltd., 3-23-1 Shiba, Minato-ku, Tokyo, Japan and Graduate School of Systems Management, The University of Tsukuba, 3-29-1 Otsuka, Bunkyo-ku, Tokyo, Japan;Shimane University, 1060 Nishikawatsu-cho, Matsue-shi, Shimane, Japan;Okayama University, 1-1, Tsushima-Naka, 1-Chome, Okayama, Japan;Graduate School of Systems Management, The University of Tsukuba, 3-29-1 Otsuka, Bunkyo-ku, Tokyo, Japan

  • Venue:
  • KES '07 Knowledge-Based Intelligent Information and Engineering Systems and the XVII Italian Workshop on Neural Networks on Proceedings of the 11th International Conference
  • Year:
  • 2007

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Abstract

In this paper, we analyze about the relation between stock price returns and Headline News. Headline News is very important sources of information in asset management, and is sent in large quantities every day. We study the effect of more than 13,000 Headline News sent from JIJI PRESS. We classify Headline News using Text Categorization and analyze the reaction of a stock price return for every type of News. From our research, we figure out following issues; 1) we make the Text Categorization System that has about 80% of classification accuracy, 2) this system can extract effective information to stock price returns from Headline News.