Papers - Takahashi, Hiroshi

公募増資時のJ-REIT投資口価格に分配金変動が与える影響に関する分析

太田明，高橋大志

証券アナリストジャーナル 56 ( 9 ) 56 - 65 2018

Single Work, Accepted

Analysis of News and Stock Returns in Korean Markets Using High Frequency Data: Exploring Conditions of Classification Algorithm

YOON Sungjae, SUGE Aiko, TAKAHASHI Hiroshi

Proceedings of the Annual Conference of JSAI (The Japanese Society for Artificial Intelligence)  2018 ( 0 ) 2K104 - 2K104 2018

Joint Work

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<p>News articles play an important role in financial markets.　This study　analyzes the relationship between news articles and stock price fluctuations using high frequency trading data in Korean stock markets.　Especially, we analyze differences in market reactions according to　languages of news articles. In order to understand the influences of　news articles, this study explores conditions of Long Short Term Memory　(LSTM) models that classify news articles.</p>

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Research of high-end barbecue beef restaurants based on consumer purchase data

Shin Kiyotaka, Suge Aiko, Yamashita Yasuo, Takahashi Hiroshi

Abstracts of Annual Conference of Japan Society for Management Information (THE JAPAN SOCIETY FOR MANAGEMENT INFORMATION (JASMIN))  2018 ( 0 ) 17 - 19 2018

Joint Work

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This research aims to improve the services of the food-service industry so it can lead to better management.<br><br>The labor productivity of the food-service industry in Japan is very low, has long suffered from lack of personnel and continues to struggle maintaining talent.<br>In order to solve this issue, this research attempts to come up with new sales strategies by analyzing POS data and clarifying the purchasing behavior of each product target.

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• CiNii Research

LSTM Model for Explaining the Association between News Data and Stock Price Volatility

Takayama Liliko, Suge Aiko, Takahashi Hiroshi

Abstracts of Annual Conference of Japan Society for Management Information (THE JAPAN SOCIETY FOR MANAGEMENT INFORMATION (JASMIN))  2018 ( 0 ) 28 - 30 2018

Joint Work

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Research on the association between stock price volatility and news data is popular and numerous studies have been conducted. In a recent paper, authors have focused on Korean stock market and studied the association between news on individual companies and stock price volatility. This paper uses tick data and aims to improve text categorization through LSTM model by classifying news data to macroeconomic news and individual companies news.

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Factor Analysis of the Rent Using Space Syntax Measures:─Comparative Analysis by Building Use around the Shibuya Station─

OTA Akira, TAKAHASHI Hiroshi, KANEDA Toshiyuki

The Japanese Journal of Real Estate Sciences (Japan Association for Real Estate Sciences)  31 ( 4 ) 109 - 118 2018

Joint Work,  ISSN  0911-3576

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As a case study of around the Shibuya station, the multiple regression analysis of housing, office and commercial rent was examined with building and location measures including visibility and integration value by space syntax theory as candidate factor variables. After the factor variables were adopted by t-test, we compared and considered the multiple regression models of housing, office and commercial use, using the factor ranking by t-value. The result showed integration value of space syntax measures were adopted in all models, although the ranking was different in each models.

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• CiNii Research

高頻度データを通じたニュースと株式市場の関連性の分析

菅愛子，高橋大志

証券アナリストジャーナル  2018

Research paper (scientific journal), Joint Work

公募増資時のJ-REIT投資口価格に分配金変動が与える影響に関する分析

太田明，高橋大志

証券アナリストジャーナル  2018

Research paper (scientific journal), Joint Work, Accepted

スペース・シンタックス指標を用いた賃料要因分析に関する研究 －渋谷駅周辺を対象とした建物用途別分析による比較－

太田明，高橋大志

日本不動産学会誌  2018

Research paper (scientific journal), Joint Work, Accepted

中国株式市場を対象とした金融極性辞書の構築と検証

高橋 大志

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence)  2019 ( BI-011 ) 04 2018

Single Work

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<p>This paper proposes a method of building a polarity dictionary using news articles and stockprices in the Chinese market by textual analysis in finance. In order to measure the degree of polarity, weassociated the news articles' sparse composite document vectors to a score. The score is calculated by themethod of event study with the abnormal change rate of stock prices on the publication date. Weconducted support vector regression (SVR) and built a polarity dictionary with polarity data from learners.Furthermore, we made a comparison on accuracy to traditional ways of calculating word polarity inwhich news articles are represented by a one-hot wordlist. The comparison of the existed polarity is made.</p>

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• CiNii Research

深層学習によるニュースと株式市場の関連性の分析

 2018

感情分析を通じて見える経営者の特性と企業の関係: 日経 225 社を対象にした分析

高橋 大志

 2018

Single Work

金融規制が金融システムいの安定性や金融機関行動に与える影響についてのシミュレーション

高橋 大志, 寺野 隆雄

人工知能学会論文誌 33-1   79 2018

Accepted

株式価格情報を用いた金融極性辞書の作成

TAKAHASHI Hiroshi

自然言語処理 (The Association for Natural Language Processing)  24 ( 4 ) 547 - 577 2017

Research paper (scientific journal), Joint Work, Accepted

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<p>This paper proposes a method of building a sentiment dictionary using only news and stock price data for textual analysis in finance. To obtain word polarity from stock price fluctuations, we calculate stock price returns following announcements of news articles. We constructed learners with support vector regression, using stock price returns as supervised labels of news articles, and built a sentiment dictionary by extracting word polarity from learners. Furthermore, we examined whether our sentiment dictionary is effective in classifying news articles as negative or positive. We found that our sentiment dictionary is also effective in classifying news articles provided by other news media other than news media we employed in constructing the algorithm. In addition, we found that it is difficult to classify news articles on a date that is two trading days away from the news announcement date. </p>

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ニュースのテキスト情報から株式リターンは予測できるか？

TAKAHASHI Hiroshi

経営情報学会誌 (経営情報学会誌編集事務局)  26 ( 3 ) 145 - 161 2017

Research paper (scientific journal), Joint Work,  ISSN  0918-7324

エージェントシミュレーションを用いた金融規制が金融機関の連動的な破綻に与える影響の分析

TAKAHASHI Hiroshi

人工知能学会論文誌 (The Japanese Society for Artificial Intelligence)  31 ( 6 ) AG-G_1 - 11 2016

ISSN  1346-0714

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Since systemic risk in recent financial crisis has received attention, a wide variety of studies on how financial regulations should be reformed to control such risk have been progressed. Among these, mathematical and computational studies have analyzed the way how the borrowing and lending banks and the borrowers go bankrupt in the chain via interbanking network. This study deals with a chain of bankruptcies of financial institutions endogenously caused by deterioration of their financial situations from the changes in prices of risky assets by focusing on the macro-level collapse caused by the shock stemming from the general market risk factors addressed in theoretical studies after the crisis in 2008. For this purpose, the authors develop an agent-based simulation platform and then examine how current systemic management regulations affect corresponding bankruptcies. The main findings are as follows: First, pertinent management regulations are dependent on the market environment. Second, some combination of management regulations may increase the possibilities of bankruptcies due to more sensitivity toward the market change.

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エージェントシミュレーションを用いた中央銀行の資金供給が金融機関の連動的な破綻に与える影響の分析

TAKAHASHI Hiroshi

経営情報学会誌 25 ( 3 )  2016

Research paper (scientific journal), Joint Work, Accepted

Text Analysis System for Measuring the Influence of News Articles on Intraday Price Changes in Financial Markets

TAKAHASHI Hiroshi

Smart Innovation, Systems and Technologies (Springer)  58   341 - 348 2016

Research paper (international conference proceedings), Joint Work,  ISSN  2190-3018

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This study constructs a text analysis system for analyzing financial markets. This system enables us to investigate the influence of news article on intraday price changes. In this study, we examine the automobile companies in Japan to analyze the relationship between news articles and stock price reactions. As a result of empirical analyses, we confirmed that stock prices reflect news information in a timely manner. These results are suggestive from both academic and practical view points. More detailed analyses are planned for the future.

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Analyzing the Influence of Indexing Strategies on Investors' Behavior and Asset Pricing through Agent-Based Modeling: Smart Beta and Financial Markets

TAKAHASHI Hiroshi

Smart Innovation, Systems and Technologies (Springer)  58   331 - 340 2016

Research paper (international conference proceedings), Single Work,  ISSN  2190-3018

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This study analyzes the influence of indexing strategy on investors' behavior and financial markets through agent-based modeling. In this analysis, I focus on smart beta index, which is proposed as a new stock index and condsidered to have better characteristics than traditional market capitalization-weighted indices. As a result of intensive computational simulation studies, we have concluded that a smart beta strategy is effective even in cases where the initial number of smart beta investors is small. This study also finds a significant relationship between the number of smart beta investors and trading volume. These results are significant from both practical and academic viewpoints.

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テキスト情報による金融資産価格評価 ～データ解析とシミュレーション分析～

TAKAHASHI Hiroshi

計測と制御 (The Society of Instrument and Control Engineers)  55 ( 1 ) 41 - 46 2016

Research paper (scientific journal), Accepted,  ISSN  0453-4662

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ニュースと株価に関する実証分析-ディープラーニングによるニュース記事の評判分析-

TAKAHASHI Hiroshi

証券アナリストジャーナル  2016

Research paper (scientific journal), Joint Work, Accepted