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決算短信テキスト情報の株価変動に対する予測力の検証
https://doi.org/10.14988/0002000182
https://doi.org/10.14988/00020001826c65622a-2b00-436e-8acd-aa3db850feae
名前 / ファイル | ライセンス | アクション |
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023064040005.pdf (744.7KB)
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Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||||||||
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公開日 | 2023-12-27 | |||||||||||
タイトル | ||||||||||||
言語 | ja | |||||||||||
タイトル | 決算短信テキスト情報の株価変動に対する予測力の検証 | |||||||||||
タイトル | ||||||||||||
言語 | ja-Kana | |||||||||||
タイトル | ケッサン タンシン テキスト ジョウホウ ノ カブカ ヘンドウ ニ タイスル ヨソクリョク ノ ケンショウ | |||||||||||
タイトル | ||||||||||||
言語 | en | |||||||||||
タイトル | Verification of predictive power of quarterly financial statement text information for stock price fluctuations | |||||||||||
言語 | ||||||||||||
言語 | jpn | |||||||||||
キーワード | ||||||||||||
主題 | 自然言語処理, 株価変動, 決定木, 深層学習 natural language processing, stock price fluctuation, decision tree, deep learning |
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資源タイプ | ||||||||||||
資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||||||||
資源タイプ | departmental bulletin paper | |||||||||||
ID登録 | ||||||||||||
ID登録 | 10.14988/0002000182 | |||||||||||
ID登録タイプ | JaLC | |||||||||||
アクセス権 | ||||||||||||
アクセス権 | open access | |||||||||||
アクセス権URI | http://purl.org/coar/access_right/c_abf2 | |||||||||||
著者 |
松田, 眞
× 松田, 眞× 津田, 博史
WEKO
16397
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著者所属 | ||||||||||||
ja | ||||||||||||
松田, 眞 / 同志社大学理工学研究科数理環境科学専攻 | ||||||||||||
著者所属 | ||||||||||||
ja | ||||||||||||
津田, 博史 / 同志社大学理工学部数理システム学科教授 | ||||||||||||
著者所属(英) | ||||||||||||
en | ||||||||||||
Matsuda, Mana / Department of Mathematical Science, Doshisha University | ||||||||||||
著者所属(英) | ||||||||||||
en | ||||||||||||
Tsuda, Hiroshi / Department of Mathematical Science, Doshisha University | ||||||||||||
所属機関識別子種別 | ||||||||||||
値 | ROR | |||||||||||
所属機関識別子 | ||||||||||||
値 | https://ror.org/01fxdkm29 | |||||||||||
抄録 | ||||||||||||
内容記述タイプ | Abstract | |||||||||||
内容記述 | 自然言語処理技術の発展に伴って、テキストマイニングを行い、投資判断に活用しようとする研究が盛んだ。本研究では、Sentence-BERTを用いた決算短信テキスト情報の定量化を行い、回帰木を用いて、株価変動に対する説明力の検証を行った。また、分類木を用いて、株価変動の方向に対する説明力の検証も行った。そのうえで、投資シミュレーションを行い、日経平均に対して超過リターンが生まれることを確認し、決算短信テキスト情報の株価変動に対する予測力を示唆した。 | |||||||||||
言語 | ja | |||||||||||
抄録 | ||||||||||||
内容記述タイプ | Abstract | |||||||||||
内容記述 | Due to the development of natural language processing technology, there has been a lot of research on text mining and its use for investment decisions. In this study, we quantified the quarterly financial statement text information using Sentence-BERT and verified its explanatory power for stock price fluctuations using regression trees. We also used classification trees to examine the explanatory power for the direction of stock price fluctuations. We then conducted an investment simulation and confirmed that excess returns were generated relative to the Nikkei 225, suggesting the predictive power of earnings release text information on stock price fluctuations. | |||||||||||
言語 | en | |||||||||||
書誌情報 |
ja : 同志社大学ハリス理化学研究報告 en : The Harris science review of Doshisha University 巻 64, 号 4, p. 198-205, 発行日 2024-01 |
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出版者 | ||||||||||||
言語 | ja | |||||||||||
出版者 | 同志社大学ハリス理化学研究所 | |||||||||||
出版者(英) | ||||||||||||
言語 | en | |||||||||||
出版者 | Harris Science Research Institute of Doshisha University | |||||||||||
ISSN | ||||||||||||
収録物識別子タイプ | PISSN | |||||||||||
収録物識別子 | 21895937 | |||||||||||
書誌レコードID | ||||||||||||
収録物識別子タイプ | NCID | |||||||||||
収録物識別子 | AA12716107 | |||||||||||
権利者情報 | ||||||||||||
権利者名 | 同志社大学ハリス理化学研究所 | |||||||||||
言語 | ja | |||||||||||
権利者名 | Harris Science Research Institute of Doshisha University | |||||||||||
言語 | en | |||||||||||
フォーマット | ||||||||||||
内容記述タイプ | Other | |||||||||||
内容記述 | application/pdf | |||||||||||
出版タイプ | ||||||||||||
出版タイプ | VoR | |||||||||||
出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |||||||||||
日本十進分類法 | ||||||||||||
主題 | 338.155 |