This paper proposes a new financial index called Financial Attention Index (FAI) to measure an extent of a financial risk. A stock market drastically changes when many novice investors participate in it. At the same time, they often post messages on Social Networking Service. Therefore, the FAI is calculated as ratio of financial related comments on microblog to detect a financial crisis. Furthermore, we train a model to predict future stock prices from a history of stock values and the FAI. Results of experiments show effectiveness of our proposed index to capture an impact of a financial crisis.
@InProceedings{WANG18.1, author = {Zhongsheng Wang and Kiyoaki Shirai}, title = {The Financial Attention Index to Measure Impact of Crisis from Microblog}, booktitle = {Proceedings of the Eleventh International Conference on Language Resources and Evaluation (LREC 2018)}, year = {2018}, month = {may}, date = {7-12}, location = {Miyazaki, Japan}, editor = {Jana Diesner and Georg Rehm and Andreas Witt}, publisher = {European Language Resources Association (ELRA)}, address = {Paris, France}, isbn = {979-10-95546-05-4}, language = {english} }
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