Prediction of Nikkei VI increase for reducing investment risk using Yahoo! JAPAN stock BBS

Abstract

In stock investment, it is important to predict future market fluctuations in order to reduce risk. The Nikkei 225 Volatility Index (VI) is a measure of the expectations of the investors of the future of the Japanese market. A rise in this index indicates that investors are concerned about the future of the market, and predicting this rise may be used to reduce investment risk. Social media posts contain the opinions and feelings of the posters. In the present study, we proposed a means of predicting the increase in the Nikkei 225 VI by analyzing the social media of the largest stock trading website in Japan, ”Yahoo! Japan Stock Message Board,” and capturing changes in the topics of discussion. As a result of evaluation over a long validation period, we developed a prediction model with an F1-measure of 0.26.