In this paper we investigate whether the MSCI EURO index can be predicted based on the content of European Central Bank (ECB) statements. We propose a new model to retrieve information from free text and transform it into a quantitative output. For this purpose, we first identify all adjectives in an ECB statement by using the Stanford Partof-Speech Tagger and feed these to the General Inquirer (GI) content analysis tool. From GI we obtain a matrix that provides for each document and for each content category the percentage of words in the document that fall under each category. After normalizing the data, we develop a Takagi-Sugeno (TS) fuzzy model using fuzzy c-means clustering. The TS fuzzy system is used to model the levels of the MSCI EURO index. To determine the performance of the model, we focus on the accuracy of predicting upward or downward movement in the index, and obtain, on average, an accuracy of 66%, that corresponds to an improvement of 16% over a random classifier.,
2010 6th IEEE World Congress on Computational Intelligence, WCCI 2010
Department of Econometrics