Integration of artificial market simulation and text mining for market analysis

Authors:
Kiyoshi Izumi;Hiroki Matsui;Yutaka Matsuo
Affiliations:
AIST, Tokyo, Japan;AIST, Tokyo, Japan;AIST, Tokyo, Japan
Venue:
ICHIT'06 Proceedings of the 1st international conference on Advances in hybrid information technology
Year:
2006

Citing 3
Cited 0

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Phase transition in a foreign exchange market-analysis based on anartificial market approach

IEEE Transactions on Evolutionary Computation

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Abstract

It is important to understand and to provide a rationale for the actions of users in financial markets. Simulations of artificial financial markets are one means by which to address these needs, and this paper describes how to integrate the technique of text mining with a simulation of an artificial financial market to enhance the value and usefulness of the simulation. The procedure that is proposed consists of extracting the economic trends from the text data that is circulating in the real world and to input these economic trends into the market simulation. We show how this was experimentally tested as a decision support system for an exchange rate policy and how it suggested that the applied combination of interest rate and intervention operations was effective for stabilization of the yen-dollar rate in 1994 and 1995.