Details of a Researcher - Takahashi, Hiroshi

Papers - Takahashi, Hiroshi

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Interdependencies of female board member appointments

Matthias Raddant, Hiroshi Takahashi

International Review of Financial Analysis (ELSEVIER) 81 2022.05

Research paper (scientific journal), Joint Work, Last author, Accepted

Corporate boards, interorganizational ties and profitability: the case of Japan

Raddant Matthias, Takahashi Hiroshi

EMPIRICAL ECONOMICS (Empirical Economics) 62 ( 3 ) 1365 - 1406 2021.05

Research paper (scientific journal), Joint Work, Accepted, ISSN 0377-7332

We analyze the ties between 4000 Japanese corporations in the time period from 2004 until 2013. We combine data about the board composition with ownership relationships and indicators of corporate profitability. The board network exhibits some clustering, which can partly be explained by ownership relations, and a tendency to form ties to other corporations from the same sector. Connectivity in the board network (corporate board interlocks) and ownership network (shareholdings) does have an influence profitability. Firms that are linked to peers with above average profitability are more profitable than firms in other relationships. Hence, network effects partly explain why board interlocks and ownership ties are not always beneficial.

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Impact of financing method on J-REIT unit price around seasoned equity offerings: Dilution and borrowing ratio effects on abnormal returns

Ota A., Takahashi H.

Pacific Basin Finance Journal 91 2025.06

ISSN 0927538X

This study attempts to identify the determinants of changes in real estate investment trust (REIT) unit prices at the time of seasoned equity offering (SEO) in the Japanese financial market. As Japanese REIT (J-REIT) announces SEOs, dividends, and borrowings at the same time, this analysis can consider each factor simultaneously. This study uses the event study method to conduct an ordinary least squares multivariate regression analysis (regression analysis) of the average cumulative abnormal return for 11 days during SEOs in J-REIT. We add the change in a borrowing ratio before and after an SEO and the dilution ratio of investment units from the perspective of the financing method as new candidate factors not used in previous studies. The sample period is from 2013 to 2017, and the number of the analyzed SEOs is 150. This study simultaneously analyzes the impact of the changes in dividends, the changes in borrowing ratios, and the dilution ratios on J-REIT unit prices at the time of SEOs and clarifies each impact. This study showed that investors were aware of the importance of the dilution impact from the perspective of net asset value as well as the dividend as profitability. Unlike previous studies, we also showed that the increase in the borrowing ratio negatively affected the unit price.

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AI-Assisted Approach in Frail Prevention: A Proposal for Prompt Design Based on Emotional Analysis

HIGUCHI Akiyo, MURAKAMI Eiji, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2025 ( BI-026 ) 34 2025.03

2060年、日本では高齢化率が39.9%およそ2.5人に1人が後期高齢者（65歳以上）となる。本研究では、健康寿命の延伸に向けてフレイル予防のプロンプト構築と自然言語処理技術（NLP）を活用したプロンプト評価を行った。とくにフレイル予防や健康支援の分野では、EBMに加えユーザーに個別化されたアプローチが効果的である。本分析では、複数の大規模言語モデル（LLM）による比較を行うことでモデルの特徴と課題を確認した。

Developing BCP Indicators through Road Network Analysis: A Multi-City Comparative Study in the Philippines

YAGI Marina, MURAKAMI Eiji, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2025 ( BI-026 ) 05 2025.03

近年，防災・減災の重要性の高まりとともに，企業経営においても災害レジリエンスを強化するための定量的なBCP（事業継続計画）策定が求められている．本研究では，フィリピンの複数都市を対象に，道路ネットワーク分析を用いて災害時の道路寸断がLPガスの復旧点検時間に及ぼす影響を評価し，定量的な指標を構築する．これにより，各都市の地理的特性に応じた実効性のあるBCP立案を可能にし，LPG事業者のレジリエンス強化の支援，ならびに災害に強い地域づくりに貢献することを目指す．

Analysis of Extracting Corporate Trends from News Data Using BERTopic

Okazaki H., Takahashi H.

New Generation Computing 43 ( 1 ) 2025.02

ISSN 02883635

News is an immediate source of information. However, it is difficult to obtain information on the trends in each business unit of a company from individual news items. This study attempts to obtain information on each business unit of a company through news analysis using BERTopic by targeting multiple companies that hold similar business domains. The validity of the analysis results was verified by comparing the news analysis results with the securities reports published by the companies. As a result of the analysis, we found that (1) it is possible to follow the trends of each specific business unit in a company through news data analysis, and (2) news data contains timely information on corporate trends and product strategies, compared to securities reports. This research presents a novel analytical approach utilizing natural language processing techniques within the finance sector, highlighting a study with substantial potential for future advancements.

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UAV-Vehicle Delivery System: Heterogeneous Time Sensitivity and Economic Efficiency

Woo Sejun, Yagi Marina, Higuchi Akiyo, Shin Kiyotaka, Takahashi Hiroshi

Abstracts of Annual Conference of Japan Society for Management Information (THE JAPAN SOCIETY FOR MANAGEMENT INFORMATION (JASMIN)) 202411 ( 0 ) 110 - 113 2025.01

Evaluating the Effects of LP Gas Restoration Activities on Disaster-Prepared Urban Development: A Foundational Analysis of Kohoku Ward, Yokohama

Yagi Marina, Murakami Eiji, Takahashi Hiroshi

Abstracts of Annual Conference of Japan Society for Management Information (THE JAPAN SOCIETY FOR MANAGEMENT INFORMATION (JASMIN)) 202411 ( 0 ) 208 - 210 2025.01

This research conducted a road blockage simulation aimed at optimizing LP gas restoration efforts during disasters. The analysis focused on Kohoku Ward, Yokohama City, to investigate the relationship between road blockage rates and travel times. As a result of the analysis, it was found that under the given conditions, travel time tends to saturate once the road blockage rate exceeds a certain threshold. Although this analysis is in its preliminary stage, further detailed analysis will be conducted in the future with the aim of providing insights that contribute to strengthening disaster resilience and developing business continuity plans.

Construction of prompts aimed at preventing frailty : An Analysis Focused on Continuity of Conversation

Higuchi Akiyo, Murakami Eiji, Takahashi Hiroshi

Abstracts of Annual Conference of Japan Society for Management Information (THE JAPAN SOCIETY FOR MANAGEMENT INFORMATION (JASMIN)) 202411 ( 0 ) 178 - 180 2025.01

This study aims to explore methods for preventing frailty by using a large-scale language model to focus on conversational continuity. It is well-established that older adults with frailty are approximately twice as likely to require assistance or care. Therefore, the goal of this study is to create prompts for frailty prevention that can enhance the quality of life for individuals. The analysis will utilize a large-scale language model (LLM) to assess the feasibility and challenges of implementing multiple prompts.

Customer Story Generation based on Quantitative Persona Creation Method through Large Language Model

Kikuchi Takamasa, Takahashi Hiroshi

Bulletin of Human Centered Design Organization (Human Centered Design Organization) 20 ( 2 ) 25 - 34 2024.09

ISSN 18829635

Targeting customers in the asset formation domain necessitates analysis that considers both current customer attributes and future attribute changes. The authors have proposed a simulation-based quantitative persona creation method, but it is limited to establishing persona skeletons, and creating customer stories with additional narratives remains a challenge. Our previous method involves a cross comparison of several skeletons based on a combination of current customer attributes, the possibility of future attribute changes, and the assumed effects of measures, and thus there are limitations to conventional manual story creation. To address this, our study proposes a methodology to generate customer stories based on skeletons mechanically and semi-automatically, using a large language model. The main findings of this research are as follows: our methodology could 1) generate a set of stories with a certain level of consistency in terms of structure, 2) write stories according to the attributes of each skeleton, 3) generate logically coherent stories, incorporating future attribute changes, and 4) provide suggestions to foster awareness among stakeholders involved in the final phase of persona creation. The proposed method is applicable not only to persona creation but also to lifecycle management, such as version upgrades, and is expected to find industrial applications.

Initial research on frailty prevention using large-scale language models (LLM)

HIGUCHI Akiyo, MURAKAMI Eiji, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2024 ( BI-025 ) 08 2024.09

This study uses a large-scale language model to examine methods for preventing frailty. In Japan, one out of every 2.5 persons will be 65 or older in the first half of life in 2060. Compared to healthy elderly, frail elderly people are at about twice the risk of needing assistance or nursing care. This study examines prompts to prevent frailty, improve quality of life, and realize a sustainable society. Utilizing a large-scale language model, we confirmed the feasibility of several prompts and the challenges.

Consideration of Community Gas Pricing Model Implementation through Agent-Based Modeling (ABM)

WOO Sejun, MURAKAMI Eiji, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2024 ( BI-025 ) 06 2024.09

This study examines the effectiveness of a community-based gas pricing plan. The community- based pricing system determines rates based on the overall usage within a community, making cooperation among community members a crucial element. Through agent-based modeling, this research investigates the potential for energy consumption reduction under a community-based gas pricing system. The paper specifically explores the effectiveness of this approach when there is a high degree of similarity in attributes within the community.

Time Series Analysis of CEO Messages Using Cosine Similarity - Targeting Major Real Estate Developers in Japan ?

SATO Naoya, TAKAHASHI Hiroshi, OTA Akira

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2024 ( BI-025 ) 04 2024.09

In recent years, information issued by companies has become more diversified, increasing corporate transparency to stakeholders. Especially, in CEO messages, which are a source of information indicating a company's future vision, changes over time are likely to emerge. Therefore, we collect CEO messages for each year as text data, vectorize them using natural language processing techniques, and then calculate the cosine similarity between messages for each year. Cosine similarity is a quantitative measure of similarity between documents by calculating the cosine of the angle between two vectors. Using this method, we quantitatively evaluate the similarities and differences between the CEO messages of each company for each year to identify trends in the real estate industry and the differences and characteristics of each company. As a result, it was observed that when social conditions undergo significant changes, the CEOs work to further promote the traditional businesses held by the companies by adapting the direction of the companies to the social conditions.

The Impact of News on Pharmaceutical Procurement in Emerging Markets on Companies' Market Evaluation

YAGI Marina, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2024 ( BI-025 ) 03 2024.09

In Bottom of the Pyramid (BOP) business, the supply of pharmaceuticals is a critical issue. This study analyzes the impact of news articles on market evaluations of companies facing pharmaceutical supply shortages or logistics delays in emerging markets. By examining these factors, the research aims to clarify the market's response to BOP business challenges and contribute to the improvement of corporate management strategies, while providing insights for investor decision-making. The findings of this research are expected to enhance understanding of sustainable corporate management and foster the development of new markets in emerging economies.

A Study on the Characteristics of Sensory Evaluation in Condominium Floor Plans -Towards the Development of an AI Model-

HIROI Shun, TAKAHASHI Hiroshi, OTA Akira

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2024 ( BI-025 ) 02 2024.09

The study acquires sensory evaluations of property floor plans as a form of tacit knowledge of experts and examines the impact of these evaluations on the price of condominium unit (Unit). The floor plans of Units are evaluated by the expert sensory with their ease of use and efficiency, but it has not been quantified to date. This study targets the floor plan images of the second-hand Units for sale, and these sensory evaluations acquired from experts. The multiple regression analysis for the Unit price is conducted by adding the sensory evaluation of the floor plan to the candidate factor variables such as building age and total exclusive area. The result of the multiple regression analysis indicates that the sensory evaluation of the floor plan was selected with the statistically significant level in the model. Therefore, it was suggested that the sensory evaluation of the floor plan has a certain impact on the Unit price.

Opportunities for a Simulation-Based Quantitative Persona Creation Method: Implications from Practitioner Interviews

Takamasa Kikuchi, Hiroshi Takahashi

Proceedings of the International Multi-Conference on Society, Cybernetics and Informatics (International Institute of Informatics and Cybernetics) 80 - 85 2024.09

ISSN 2831-722X

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Can a Large Language Model Generate Plausible Business Cases from Agent-Based Simulation Results?

Takamasa Kikuchi, Yuji Tanaka, Masaaki Kunigami, Hiroshi Takahashi, Takao Terano

Software Engineering, Artificial Intelligence, Networking and Parallel/Distributed Computing (Springer Nature Switzerland) 147 - 162 2024.05

ISSN 1860-949X

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Examining the impact of the spread of next-generation automobiles on gasoline demand in Japan and the delivery system based on these changes using an agent-based model

WATANABE Emiko, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2024 ( BI-024 ) 21 2024.03

This research focuses on the decline in demand due to the spread of next-generation EV and hybrid vehicles, uses an agent-based model to predict gasoline demand, and predicts demand for a delivery model in which gasoline is delivered from a refinery or oil depot to a gas station by tank truck. We conducted a search for efficient delivery methods by reflecting the prediction results. The following results were obtained. Although oil depots have the function of reducing the number of tank trucks needed, using oil depots tends to increase delivery costs. If future gasoline demand decreases, the number of tanker trucks needed will also decrease. This is expected to reduce the need for the depot's ability to reduce the number of tanker trucks needed, making closure more economically advantageous.

Factor Analysis for Cap Rate of Property Using Space Syntax Measures

TOYOYOSHI Naoki, TAKAHASHI Hiroshi, KANEDA Toshiyuki, OTA Akira

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2024 ( BI-024 ) 13 2024.03

Employee work environment analysis using natural language processing techniques and large-scale language models

KAMIYAMA Naoya, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2024 ( BI-024 ) 16 2024.03

This study aimed to understand how employees feel about their work environment and the factors influencing those feelings, by analyzing reviews on job-switching websites. The data extracted using advanced natural language processing (BERT) revealed common factors affecting employee satisfaction, including workplace environment, career development, business growth, interpersonal relationships, and evaluation and rewards. Furthermore, by utilizing large language models to generate employee personas, the study identified specific challenges and motivations, suggesting the potential to infer employee characteristics and provide valuable insights for decision-making.

Research using an agent-based model that forms the basis of a delivery model for gasoline and light oil on the spread of next-generation automobiles in Japan

Watanabe Emiko, Takahashi Hiroshi

Abstracts of Annual Conference of Japan Society for Management Information (THE JAPAN SOCIETY FOR MANAGEMENT INFORMATION (JASMIN)) 202311 ( 0 ) 128 - 130 2024.01

In this research, we used an agent-based model (ABM) to forecast the spread of electric vehicles (EVs), one of the next-generation vehicles. We constructed two models to predict the spread of EVs: a consumer model that uses general consumers who own private cars as agents, and a corporate model that uses companies that own vehicles for business purposes as agents. Ultimately, the predictions of these models are used as one of the necessary data to predict the future demand for gasoline and diesel oil, and the results are reflected in the gasoline and light oil distribution model.

Visualization of changes in the technological domain of pharmaceutical companies using patent document vectors

Sawai Yuki, Takahashi Hiroshi

Abstracts of Annual Conference of Japan Society for Management Information (THE JAPAN SOCIETY FOR MANAGEMENT INFORMATION (JASMIN)) 202311 ( 0 ) 207 - 210 2024.01

Patents in pharmaceutical companies are the result of R&D investment, and can be regarded as one of the indicators that represent the results of exploratory research for the creation of new drugs, as well as reflect the company's strategy for the technological domain. Therefore, if patent documents are quantified, it is possible not only to objectively grasp the degree of concentration or expansion of technological fields, but also to make comparisons between companies. In this study, we attempted to visualize the transition of the technological domain of Japanese, European, and American pharmaceutical companies by quantifying the technology travel distance using vector expressions extracted from patent abstracts.

Factor analysis of corporate performance and working environment

Kamiyama Naoya, Hiroshi Takahashi

Abstracts of Annual Conference of Japan Society for Management Information (THE JAPAN SOCIETY FOR MANAGEMENT INFORMATION (JASMIN)) 202311 ( 0 ) 89 - 91 2024.01

We used text mining techniques on review sites where employees can post evaluations about their own company. By sentiment analysis, we measured the working environment score from the review data. We examined how this score affects the company's performance. The result showed a positive correlation between the score of the working environment and the operating profit margin. Furthermore, by conducting morphological analysis, co-occurrence keywords, and dependency parsing, we were able to identify and visualize common words between companies.

Building a Shapley FinBERTopic System to Interpret Topics and Articles Affecting Stock Prices

Yoshihiro Nishi, Hiroshi Takahashi

Software Engineering, Artificial Intelligence, Networking and Parallel/Distributed Computing (Springer) 17 135 - 146 2024

Research paper (scientific journal), Accepted

Nowcasting Corporate Product Development Activities Through News Article by BERTopic: The Case of the Japanese Chemical Company

Okazaki H, Takahashi H

Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics) (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)) 14644 LNAI 217 - 225 2024

ISSN 03029743

In this study, we attempt to extract corporate trends from news data. Specifically, in this analysis, we employed BERTopic to group news containing various topics into several categories. BERTopic is a tool for document clustering that utilizes BERT. The analysis focused on examining the relevance between topics related to products and corporate activities. The study targeted news headlines of specific chemical company listed on the Japanese stock market, covering a sample period of 24 years from 1996 to 2019. The results of the analysis revealed (1) the ability of BERTopic to classify target news into multiple groups and (2) the potential to efficiently obtain information about future corporate activities from the content of the news. These findings indicate the possibility of acquiring timely information about corporate trends through the analysis of news headlines using BERTopic.

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Construction of an agent-based model for predicting EV spreading to consumers and company which is the basis of a gasoline/diesel oil delivery model

WATANABE Emiko, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2023 ( BI-023 ) 12 2023.09

電気自動車(以下、EV)など次世代自動車普及の方策を立案する目的としてエージェントベースモデル(以下、ABM)を用いた研究は多数なされているが、一般消費者への普及予測を対象としたものが多く、企業への普及予測を行なったものは限定的である。本研究では、消費者モデルに加え、企業モデルの構築も行なった。企業への普及予測も行なうことで、今後のガソリン・軽油の需要に与える影響をより正確に把握することが期待される。EV などの次世代自動車の普及予測を行ない、ガソリン・軽油の配送モデル構築を行なうことを本研究の最終目的とする。

A Business Case Generation Methodology based on Agent Simulation's Results using Large Language Model

KIKUCHI Takamasa, TANAKA Yuji, KUNIGAMI Masaaki, TAKAHASHI Hiroshi, TERANO Takao

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2023 ( BI-023 ) 15 2023.09

社会技術システムの設計・実装のため，構成的な接近法として，エージェントシミュレーションが用いられている.しかし，多様な背景を持つステークホルダーに対し，モデルの構造やシミュレーションの全体的な結果を理解・共有させることが課題となっている.先行研究ではシミュレーション結果を自然言語により記述しビジネスケースと接地させる方法論が存在するが，本稿では当該手法の改善提案を行う.具体的には，1)シミュレーション結果を大域的に分析し系統的に分類する，2) 分類結果につき大規模言語モデルを用いて自然言語により書き下す. このことにより，シミュレーション全体の構造を俯瞰し「あり得る結果」を同定した上で，それに基づき半自動的に仮想的なビジネスケースを作成しうることを確認した.

Interviews with Persona Designer and Planners to Improve Agent Simulation based Quantitative Persona Creation Method

KIKUCHI Takamasa, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2023 ( BI-023 ) 05 2023.09

顧客中心のサービス設計のため，マーケティング領域では，ペルソナ手法が広く用いられている.デザイナーのインタビューによる定性的な作成手法に加え，昨今では，多量のデータと様々な分析手法を組み合わせた定量的ペルソナデザイン手法が多用されている.本稿では，著者らが提案しているシミュレーションベースの定量的手法について，ペルソナの企画者やデザイナーなどの実務有識者にヒアリングを行う.当該手法の有用性や限界を議論するとともに，今後の改善に向けた方向性を議論する.

Visualization of changes in the technological domain of domestic pharmaceutical companies using patent document vectors

SAWAI Yuki, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2023 ( BI-023 ) 03 2023.09

国内医薬品市場において、処方量は高齢化による医療ニーズの拡大や画期的な新薬の発売等で増加している一方、薬剤費は政府による医療費増加抑制策(薬価引下げや GE 使用推進)の結果、市場規模は頭打ちとなってきている。そのような中、国内製薬企業は自社が強みを持つ疾患或いは技術領域に経営資源を集中的に投資している動きが見られている。しかし、製薬企業の経営資源の集中度合は、IR 情報等の定性的な情報では測ることが困難である。そこで、本研究では技術領域に焦点を当て、製薬企業の技術領域を特許文書にベクトル表現を持たせることで定量化し、2000 年以降の技術領域の推移を可視化することを試みた。

Impact of the working environment on corporate performance

KAMIYAMA Naoya, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2023 ( BI-023 ) 08 2023.09

We conducted text mining on data from review sites where information and reputations about companies can be shared, and evaluated the labor environment score from that data through sentiment analysis. As a result of investigating the impact of the labor environment score on corporate performance, a positive correlation was shown between the labor environment score and the operating profit margin. Furthermore, by conducting morphological analysis of the review data and analyzing co-occurring keywords, we were able to identify common words between companies and visually confirm them.

Comparison and Evaluation of Accuracy in Building Image Recognition Models Using Deep Learning Architectures -For Practical Use in the Real Estate Business-

HIROI Shun, TAKAHASHI Hiroshi, OTA Akira

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2023 ( BI-023 ) 01 2023.09

This study will identify the superior model by grade recognition of building images of office buildings and residential buildings by two image recognition models that are known to be highly accurate. With respect to expert grade evaluation in facade images of buildings, for practical use in the real estate business, focus on the layer depth of convolutional neural networks (CNN), an AI image recognition technology, and build two models using VGG-16 and ResNet-50, which are different layer depths. Modify the network so that it can be applied to the model, perform transfer learning, and obtain a transition graph of classification accuracy. The results of this accuracy comparison considered showed that VGG-16 outputs higher accuracy than ResNet-50 for both applications, indicating that VGG-16 has the advantage. This also suggests that the performance required of the model (architecture) is not only based on layer thickness, but also includes the need to avoid overlearning due to layer depth.

人工知能・概観 ―機械学習、自然言語処理、計算機シミュレーションおよび関連トピック―

高橋大志

証券アナリストジャーナル (証券アナリスト協会) 61 ( 9 ) 6 - 15 2023.09

Lead author, Last author, Corresponding author

Editorial: Tipping points in societies

Kurahashi, S; Chappin, E; Jager, W; Takahashi, H

FRONTIERS IN PHYSICS 11 2023.06

ISSN 2296-424X

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Simulation-Based Quantitative Persona Design for Life Planning Studies

KIKUCHI Takamasa, TAKAHASHI Hiroshi

Journal of the Japan Society for Management Information (The Japan Society for Managemant Information) 31 ( 4 ) 169 - 188 2023.03

Accepted, ISSN 09187324

Persona methods are widely used in marketing to create customer-centric services. However, the following issues exist in designing and evaluating personas for services and measures that have characteristics which may benefit customers in the distant future, such as in the domains of asset formation and life planning. First, many analyses are based on previous or current customer attributes, which do not always result in accurate customer classification. Second, identifying the appropriate target group is difficult because the impact of the services and measures provided to each persona is not evident. In this paper, we present an example of persona creation and evaluation that considers the above characteristics, targeting the asset formation domain. This method generates future customers attributes using a social simulation based on real data, understands the effects of measures using scenario analysis in a virtual space, and has aspects as a proposal for improving quantitative persona creation methods. The key findings are that predicting and grasping the possibility of future change in customer attributes and creating personas based on these predictions is quantitatively and objectively possible; moreover, quantitatively grasping the impact of services and policies on customers and prioritizing among the created personas is possible.

A study of the Relationship between Technological Distance of Companies and Innovation in M&A—An Analysis Using Outlier Detection of Patent Data—

YAMAMOTO Daishiro, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2023 ( BI-022 ) 08 2023.03

In this study, we analyzed the relationship between the technological distance calculated from the patent text data as an explanatory variable and the number of occurrences of outliers in new patents as an explained variable. This study aims to explore the technological distance that brings about innovation. We vectorized the patent text data using natural language processing called SCDV and calculated the technological distance of companies. PCA and Local Outlier Factor (LOF) were applied to calculate outliers. As a result of comparing the groups divided according to technological distance, we confirmed that the group with the shortest technological distance had a higher mean number of outliers than the other groups. Furthermore, similar results were obtained when the same comparison was made after classifying by company size. These results suggest that M&As between companies with similar technologies produce more innovation as outliers.

Machine Learning Classification of Illegal and Legal Bitcoin Transactions

EHARA Takashi, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2023 ( BI-022 ) 29 2023.03

暗号資産に絡んだ，資金洗浄，ハッキング，詐欺などの違法，不正取引は後を絶たない.今後ビットコインが発展するためには，違法取引を検出，凍結する必要がある.本論文では，分析対象として Elliptic Dataset を使用して，教師データと訓練データを様々な取引時間帯ごとに抽出し分類精度を測定した.時間帯により分類精度が著しく異なることから，時間帯により違法取引のパターンが異なることを示唆した.また，教師データの多寡にかかわらず分類精度が異なっていた.また分類精度を向上させるために，教師なし学習の利用可能性について検討したが，教師なし学習による分類は困難であることが示唆された.以上から，未知の違法取引パターンの検知は困難であると考える.

Toward Digital Societal Experiments in Life Planning Studies

KIKUCHI Takamasa, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2023 ( BI-022 ) 15 2023.03

社会シミュレーション分野では，リアルスケールのシミュレーション実施に向けた基本技術が整備されつつあり，「デジタル社会実験」の実現についても議論がなされている.金融分野でも，社会シミュレーション技法は様々な場面で活用されている.資産形成やライフプランニングに関し，個人の属性に即した解決策提示や施策検討などの諸課題に対しては，当該技法を用いたアプローチが有効となる.本稿では，著者らの最近の退職前後世代の資産形成・取り崩しのシミュレーション;仮想的施策の影響度分析;定量的エクスペリエンス・マップ作成手法;顧客とサービス提供者の共創的状況の形式記述などの研究成果に基づき，ライフプランニング領域におけるデジタル社会実験の実現に向けた考察を行う.

Analysis of the response of investor behavior and volume to the news

Yoon Sungjae, Takahashi Hiroshi

Abstracts of Annual Conference of Japan Society for Management Information (THE JAPAN SOCIETY FOR MANAGEMENT INFORMATION (JASMIN)) 202211 ( 0 ) 33 - 36 2023.01

In this research, we analyzed the reaction of investor behavior to news announcements in the stock market using stock trading data from the Tokyo Stock Exchange, which contains investors' order information, and natural language processing methodologies. We find that the magnitude of the growth of the volume ratio after the transmission of positive emergency news is relatively smaller than that of other categories of news, and that the magnitude of the growth of the volume ratio after the transmission of news is relatively smaller for large-cap stocks. These results provide interesting insights into the relationship between news and investor behavior.

Applications of Social Simulation Techniques to Life Planning Field

KIKUCHI Takamasa, TAKAHASHI Hiroshi

Journal of The Society of Instrument and Control Engineers (The Society of Instrument and Control Engineers) 62 ( 1 ) 47 - 48 2023.01

ISSN 04534662

What is the Investment Strategy to Overcome the Severe Business Environment?: Perspectives on the Relationship Between Business and Human Resources Management

Morimatsu K, Takahashi H

ISSN 03029743

We use an agent-based model to elucidate the strategies of firms that have achieved superior performance even in an environment of market shakeout due to innovation. Assuming that a company’s sales consist only of intangible assets, we analyze the specific actions of the company regarding investment strategy from the viewpoint of decision-making and found that (1) it is important to invest more than competitors even at the expense of efficiency in the early stage of a business, and (2) business growth by investing talented human resources ahead of competitors is the most important factor in the (3) If it is difficult to secure human resources, it is important to make investment decisions for further new business development ahead of competitors. One of the novelties of this study is that it quantitatively provides valid suggestions regarding investment strategies for businesses.

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Empirical Analysis of the Impact of Mergers and Acquisitions on Innovation Activities Through Clustering

Tamagawa N, Takahashi H

ISSN 03029743

Using large-scale patent data, we analyze the impact of mergers and acquisitions (M&A) on innovation activities in companies. The analysis classifies M&A according to the trend of innovation output through their index clustering. In addition, we measure the technological distances among companies using patent document data, then apply the distances to the evaluation of M&A. As a result, we find two types of clusters: 1) one with the tendency to increase the postmerger innovation outputs; 2) the other with a trend to decrease innovation output around M&A deals. The former cluster tends to have a smaller innovation output scale around deals than the other clusters. Furthermore, compared to the other groups, the group whose postmerger innovation output decreases has the largest increase in stock price return after the deal announcement. This study’s major findings indicate that the combination of unstructured text data and machine learning methods applies to M&A and innovation.

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Bitcoin Fraudulent Transaction Detection Vulnerability

Ehara T, Takahashi H

Smart Innovation, Systems and Technologies (Smart Innovation, Systems and Technologies) 354 SIST 183 - 193 2023

ISSN 21903018

Bitcoin is expected to play a vital role in the web3 and is attracting attention. Still, it is notorious as a hotbed for various fraudulent transactions, which are on the rise. One of the characteristics of Bitcoin is its anonymity. Bitcoin allows tracing transactions, but the owner cannot be identified. In addition, bitcoin is considered more difficult to trace criminals than bank transactions because of the unlimited number of addresses that can be created. This study shows that it is possible to detect criminal transactions with known transaction patterns using supervised learning. Still, it is difficult to detect criminal transactions with unknown transaction patterns using supervised learning. We also show that even with anomaly detection methods, illicit transactions are difficult to detect. From the above, we believe that Bitcoin is vulnerable to illicit transactions.

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Analysis of the relationship between technological diversification and enterprise value using patent data

Matsumoto Y, Suge A, Takahashi H

Information Technology and Management (Information Technology and Management) 2023

ISSN 1385951X

As natural language processing technology advances, its application to finance is growing. We focus on technological diversification resulting from R&D activities, one of the concerns for firms requiring efficient business management. We analyze the relationship between technological diversification and enterprise value using text information of patents and examine text information's usefulness in corporate finance. Specifically, we created a firm's technological diversification index from the text information in the patents and the firm's excess value from its financial data and analyzed the relationship between them. We analyzed Japanese firms that have been listed on the First Section of the Tokyo Stock Exchange and have applied for patents during the period 2002–2015. As a result, we found that (1) the spread of technology in multiple ways could impair enterprise value, and (2) the use of text information can be more valuable than the use of specific standards indexes such as the International Patent Classification (IPC). This study shows interesting results on the relationship between technological diversification and enterprise value and implies the applicability of unstructured data to finance research. A detailed analysis is for further study.

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Evaluation of Sponsor Matching in eSports Using Attribute Estimation Method of Twitter Sentences

SAITO Tatsuki, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2022 ( BI-021 ) 09 2022.09

In this research, we will create a model that estimates the attributes of followers based on the information of utterances on SNS as clues about what kind of customers support e-sports teams and their sponsor companies, and compare the attributes. The purpose is to clarify the sponsor's integrity by The survey targets e-sports teams that operate Twitter accounts and their sponsor companies. Using the information posted on Twitter, we will compare the attributes of followers between target accounts and analyze the trend of followers. Based on the analysis results, we propose indicators for optimal matching of teams and sponsors.

Improving the Accuracy of Classifying Illegal and Legal Transactions in Bitcoin Transaction Data

EHARA Takashi, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2022 ( BI-021 ) 11 2022.09

Crypto asset (Virtual currency) transactions have long been in the limelight. Crypto assets use cryptography to achieve decentralized management by participants on the Internet. Since they can be used by an unspecified number of people and there is no intermediary in the transaction, they are often misused for money laundering and terrorist financing. In this study, we adapt various machine learning methods to ELLIPTIC DATA, which is BITCOIN transaction data used in many previous studies. As a first step, we examine parameter optimization of random forests, feature refinement, sampling methods, and so on...

The Identification of Product-Harm Crisis and its Effects on Enterprise Value via News Dataset

ZHAO Huimei, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2022 ( BI-021 ) 02 2022.09

Product-harm crises occurred worldwide, and the effects are reflected not only on customers but also on enterprise value. In our study, we analyzed specific sites which publish scandals in Japanese and identified the keywords of product-harm crises using co-occurrence analysis. Based on the results, we can analyze news data to understand the effects of product-harm crises via event study. We will also analyze the news in different countries by natural language processing and aim at finding a difference in product-harm crisis management.

Proposal of organizational structure and performance evaluation method for Japanese IT companies using business cases

OKAZAKI Haruna, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2022 ( BI-020 ) 10 2022.03

Business cases include a lot of information on corporate activities, including informa- tion contained in securities reports. In this study, we analyze the relationship between the orga- nizational structure of Japanese IT companies and financial performance using business cases. .. The organizational structure of Japanese IT companies can be broadly divided into pyramid-type organizations and flat-type organizations. Recently, IT companies have been called for flatten- ing, and many companies are moving to flat-type organizations. However, Japan is originally a pyramid-type organization, and it is thought that there are not many companies that are emerging as flat-type organizations. The purpose of this paper is to show a concept for exploring one of the factors.

A Study on Improving the Accuracy of Classification Models through Property Image Generation

MORIMATSU Kazuya, JIANSEN Zhao, TAMAGAWA Nozomi, OKAZAKI Haruna, YOON Sungjae, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2022 ( BI-020 ) 03 2022.03

In the case of business development by learning information about properties, such as recognizing scratches on the floor or wall, it is difficult to find a certain pattern in the teacher data, which makes it difficult to prepare teacher data of sufficient quality and quantity. Therefore, in this study, we investigate how to improve the accuracy of the classification model by generating pseudo-images from a small number of samples to improve the quality and quantity of the teacher data.

A Study on the Impact of Information Security Incidents on Stocks of the U.S. Market

ZHAO Jiansen, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2022 ( BI-020 ) 15 2022.03

In this study, we analyzed the impact of news related to information security incidentson the stock prices of companies listed on the NASDAQ market in the United States. Theanalysis data was based on news that was announced to the market participants by ReutersNews. For the analysis of news related to information security incidents, we used the BERTmodel of text analysis. In this study, we used the event study method to compare and analyzethe impact on stock prices in multiple periods.

Empirical Analysis of the Relationship between M&A and Innovation Activities for the Pharmaceutical and Materials Industries

TAMAGAWA Nozomi, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2022 ( BI-020 ) 07 2022.03

We conduct an empirical analysis of the relationship between innovation activity and mergers and acquisitions (M&A) by public companies in the pharmaceutical and materials industries in Japan, the U.S., and Germany. The analysis uses large-scale patent data to measure indicators of innovation activity. In addition, we attempt to quantitatively measure the technological distance between firms by analyzing patent document data using natural language processing, and apply it to the evaluation of M&A. As a result, we find a trend in the relationship between the technological distance of the acquirer and the target firm and the post-merger innovation activity. One of the novelties of this study is the application of unstructured data and information technology methods to the research field of M&A and innovation activities. This research contributes to the quantitative evaluation of intangible assets in companies.

Analysis of News and Stock Market with FinBERT models

Yoon Sungjae, Takahashi Hiroshi

Abstracts of Annual Conference of Japan Society for Management Information (THE JAPAN SOCIETY FOR MANAGEMENT INFORMATION (JASMIN)) 202111 ( 0 ) 227 - 230 2022.01

In this research, we analyze the relationship between news announcements and trading volume in the stock market using high-frequency trading data and natural language processing technology. In the evaluation of the news, we applied the FinBERT models, which are analysis methods specialized in the financial field, and targeted the Korean and Japanese stock markets. As a result, we found that the trading volume tends to increase due to the ‘Alert' news with high immediacy. and that some companies with relatively small market capitalization have a strong connection to news and trading volume, while news about companies with large market capitalization have a limited impact. These are interesting results that contribute to the clarification of the price formation mechanism in the market.

A Customer Experience Mapping for Knowledge Extraction from Social Simulation Results

Takamasa Kikuchi, Masaaki Kunigami, Hiroshi Takahashi, Takao Terano

Smart Innovation, Systems and Technologies (Smart Innovation, Systems and Technologies) 306 159 - 168 2022

ISSN 21903018

Various methodologies have been proposed for extracting knowledge from the output results and logs of social simulations. Such analysis methods are important not only for model developers and analysts, but also for sharing knowledge and communication among other stakeholders. In this paper, we attempt to apply the System Experience Boundary Map, which is one of the experience mapping methods used in the field of design thinking, for the analysis and formal description of the results of social simulation.

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Nowcasting of Corporate Research and Development trends through news article analysis by BERTopic: The case of Japanese electric company

Okazaki H, Takahashi H

International Conference on Electrical, Computer, Communications and Mechatronics Engineering, ICECCME 2022 (International Conference on Electrical, Computer, Communications and Mechatronics Engineering, ICECCME 2022) 2022

Various means exist for obtaining information about a company. However, many of them are not timely and, from the investor' s point of view, do not have enough information. In particular, it is even more difficult to find out trends of diversified companies with multiple segments. Therefore, this study aims to extract timely information on the trends of each segment of a company from news data using BERTopic. The analysis targets news headlines of diversified electronics firms listed on the Japanese stock market. The sample period was 24 years, from 1996 to 2019, and the number of news items for analysis was 26,058. As a result of the analysis, we found that (1) BERTopic can classify the target news into 46 topics, (2) it is possible to identify company segments and extract trends in company activities from the classified topics, and (3) it is also possible to visualize the time-series transition of topics related to each segment. (4) The results obtained from the analysis were used to determine the value of the company's investment in the market. In addition, the results obtained from the analysis were consistent with the descriptions in the annual reports. These results indicate the possibility of obtaining highly immediate information on corporate trends, such as R&D, through the analysis of news headlines via BERTopic.

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How Can We Make the Best Use of Intellectual Capital? Building an Analysis System Through Agent-Based Models

Morimatsu K, Takahashi H

Smart Innovation, Systems and Technologies (Smart Innovation, Systems and Technologies) 306 147 - 157 2022

ISSN 21903018

It is important to utilize intellectual capital to overcome the severe business environment. However, it is difficult to grasp the causal relationship between how to utilize them and how to improve business performance. In this study, we have developed a system that can elucidate the strategies of excellent companies through the analysis of their behavior in a complex business environment using an agent-based model. The system consists of three layers of business environment: external layer, decision-making layer, and choice of action layer. In addition, there are three types of investment targets: human capital, structural capital, and relational capital. Through this system, we can optimize investment strategies according to market conditions and recommend strategies that consider the behavior of competitors, which is the strength of agent-based models. In this paper, the construction of the system and a case study of analysis are presented. One of the novelties of this research is that we have developed a structure that allows us to consider the utilization of intangible assets from a quantitative perspective.

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System for Analyzing Innovation Activities in Mergers and Acquisitions by Measuring Technological Distance

Tamagawa N, Takahashi H

Smart Innovation, Systems and Technologies (Smart Innovation, Systems and Technologies) 306 135 - 146 2022

ISSN 21903018

In this study, we construct an analysis system for the impact of mergers and acquisitions (M&A) on innovation activities using large-scale patent data in Japan, the U.S., and German. In the analysis, we focus on the technological similarity between the acquirer and the target companies in M&A. Specifically, we use natural language processing to analyze the patent document data and measure the technological distance among companies. In addition, we measure the innovation output in M&A using the patent data and classify the analysis targets according to the size of the technological distance. We also analyze the trend of the innovation output after the announcement. By conducting the analysis, we confirm that the innovation output after M&A announcement tends to increase in the M&A group with medium technological distance. In this result, one of the novelties is the applicability of unstructured data and machine learning methods to the research field of M&A and innovation.

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Survey on Social Simulation and Knowledge Extraction from Simulation Results - Application for Constructing Life Planning Support Frameworks -

高橋大志

International Journal On Advances in Software 15 54 - 56 2022

Accepted

Construction of a News Article Evaluation Model Utilizing High-Frequency Data and a Large-Scale Language Generation Model

Yoshihiro Nishi, Aiko Suge, Hiroshi Takahashi

SN Business & Economics (Springer Nature) 1 ( 8 ) 2021.07

Research paper (scientific journal), Joint Work, Accepted

News articles have significant impacts on asset prices in financial markets. A great number of attempts have been conducted to ascertain how news articles influence stock prices. News articles have been reported to contain sentimental and fundamental information that affects stock price fluctuations, and many studies have been conducted to evaluate stock price fluctuations using them as analytical data. However, the limitations in the number of available datasets usually become the hurdle for the model accuracy. This study aims to improve the analytical model’s accuracy by generating news articles using language generation technology. We tested whether the model that used the generated data was better than the trained model with real-world data. The model constructed in this research is a model that evaluates news articles distributed to financial markets based on the price fluctuation rate of stock prices and predicts and evaluates stock price fluctuations. This study labeled based on high-frequency trading data and generated news articles using a large-scale language generation model (GPT-2). Also, we analyzed and verified the effect. In this study, we succeeded in generating news articles using the large-scale language generation model and improving the classification accuracy. Our method proposed in this paper has great potential to improve text analysis accuracy in various areas.

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Analysis of the impact of crypto assets on investment portfolios before and after the outbreak of Covid-19

LIU Mengyao, JOTAKI Hiroaki, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2021 ( BI-018 ) 12 2021.03

Following the COVID-19 outbreak, unlike the plunge in traditional mainstream assets, crypto assets haveperformed very well. Indices that reflect changes in the crypto assets market have also grown in recent years. However,in terms of cryptocurrency index-related studies, there are not many, and the period analyzed is mostly three years. Inthis study, we analyze the impact of crypto assets on portfolio construction and attempt to clarify the risk-returncharacteristics of portfolios that include crypto assets as investment targets. We analyze historical data from July 2014to April 2020 based on the cryptocurrency index CRIX and six other traditional mainstream assets. By using theDCC-GARCH model, this study finds out the low dynamic correlation between the crypto assets and traditional ones.By using the mean-variance model, Cornish-fisher expansion, and T-copula CVaR approach to check the frontier lineand portfolio performance, we find out that crypto assets have the potential to improve the risk-return characteristics oftraditional portfolios.

A Study on Determining Factors of Amount of Gas Used in Japan — Analysis using multi-layer perceptron model —

HEO Myeongseok, MURAKAMI Eiji, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2021 ( BI-018 ) 14 2021.03

Gas and electric power are one of the essential social infrastructure for social and economicactivities. The purpose of this research is to construct a gas' consumption model suitable for thedistribution and sales market of LP gas in Japan by utilizing temperature. As a method of predictingdemand, we would like to first create a model of power consumption and then apply it to LP gas. Analysisof customers' gas consumption can infer from what standpoint they were consuming public goods.Through this, we would like to offer users' reasonable price and usage to expand their choices andcontribute to the efficient use of social resources. Furthermore, analysis of LP gas usage through deeplearning is possible.

Classification and Prediction of Stock Price Using Summarization and Machine Learning

NOYA Jun, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2021 ( BI-018 ) 08 2021.03

A Study on Pricing Strategies for Business Hotels based on Agent-Based Simulation

NAKAMURA Atsumi, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2021 ( BI-018 ) 10 2021.03

This study examines the effectiveness of pricing strategies in business hotels. Through theanalysis, we will attempt to identify the impact on the lease period and sales of business hotels, and how itchanges with the introduction of policy simulation. In this study, pricing strategy is considered as a policy.Through Agent-Based Simulation, we will match borrower and lender agents and analyze the results ofthe balance between supply and demand, and we will consider pricing strategy in our analysis. We will bemeasured the policy effects from individual strategies, using the framework created by previous studiesthat considered prices. A bottom-up policy evaluation will be conducted, and exploratory studies will beconducted to determine that it is an effective tool.

Toward Persona Generation Support by Log Analysis of Social Simulation

KIKUCHI Takamasa, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2021 ( BI-018 ) 04 2021.03

商品設計やサービス提供の領域では，顧客に関する具体的な議論を喚起し，関係者の合意形成を円滑にするため，顧客の仮想人格である「ペルソナ」を作成することが広く行われている．しかし，作成過程において，a)考慮すべき顧客の要素・特性や，b)ペルソナの正当性の担保や優先順位付けに関して，必ずしも明確な指針が存在するわけではない．そこで本研究では，社会シミュレーションのログ分析手法を援用し，ペルソナ作成過程における分析支援手法を検討する．想定される効用は以下の通り：社会シミュレーションの各種分析手法を援用することで，1)想定する結果に影響を与える要素・特性を明確化しうること，2)注目すべきペルソナを同定しうること．

Analysis of the Relation between Retail Rent and the Pedestrian Data from GPS of Mobile Phone - A Case Study of the Shimokitazawa Station-

OTA Akira, TAKAHASHI Hiroshi, KANEDA Toshiyuki

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2021 ( BI-017 ) 11 2021.01

The location is important for the real estate management business, but it is difficult to bequantified. As a case study of the Shimokitazawa station, the correlation analysis of retail rent was examinedwith building and location measures. The location measures include KDDI's pedestrian data in each samplepoint from GPS of mobile phone because the recent IT development has enabled us to get pedestrian dataeasily. The result showed positive correlation between retail rent and the pedestrian data can be seen.

A Study on Determining Factors of Amount of Gas Used in Japan

HEO Myeongseok, MURAKAMI Eiji, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2021 ( BI-017 ) 08 2021.01

Gas and electric power are one of the essential social infrastructure for social and economicactivities. The purpose of this research is to construct a gas' consumption model suitable for thedistribution and sales market of LP gas in Japan by utilizing temperature. As a method of predictingdemand, we would like to first create a model of power consumption and then apply it to LP gas. Analysisof customers' electric power and gas consumption can infer from what standpoint they were consumingpublic goods. Through this, we would like to offer users' reasonable prices to expand their choices andcontribute to the efficient use of social resources.

Analysis of domain strategies of pharmaceutical companies using patent documents

YONEMURA Takashi, MATSUMOTO Yusuke, SUGE Aiko, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2021 ( BI-017 ) 02 2021.01

本研究は製薬企業が保有する特許が企業業績にどのような影響を与えているかを、特許の抄録集を抽出しベクトル表現を獲得することで企業の技術距離を年次的に算出、その関連性を分析している。日本の社会保障の構造上、製薬企業は「長期収載品に依存するモデルから、より高い創薬力を持つ産業構造に転換」に迫られている。製薬企業にとって、特許は莫大な研究開発費用の投資による結果であり、これを分析することで企業の技術戦略の方向性を窺い知れる可能性がある。分析の結果、技術的多角化は(1)企業のファンダメンタルに負の影響を与える可能性が示唆された。(2) 株式市場に負の影響を与える可能性を示せた。以上の結果は技術的進歩を常に追い求める製薬企業の企業経営にとって重要な示唆を与える。

Construction and Analysis of News Evaluation Model for Automobile Manufacturers Using Summarization and Similarity

NOYA Jun, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2021 ( BI-017 ) 06 2021.01

株式市場の変動は様々な要因によって引き起こされる．とりわけ，ニュースは最も一般的な情報源であり，投資家にとって重要な役割を果たしている．本研究では，ニュースのサプライズに注目して分析を行った．分析の手法として，過去のニュース記事を要約し，次期に発表されたニュースと比較することによってアーニングサプライズを株価の説明モデルに組み込んだ．要約文章生成には PEGASUS，分類モデルの構築にはランダムフォレストを採用した．

An Analysis of the Relationship between Managerial Appearance and Corporate Behavior

FUKASAWA Ayumi, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2021 ( BI-017 ) 04 2021.01

There are also many studies that suggest that the characteristics of managers, such as theirbackground, orientation, and age, have some influence on the performance and behavior of companies. Inthis paper, we analyze the relationship between managerial face and corporate behavior, especially R&Dinvestment, after focusing on face as one of the important components of appearance. We classified the facetypes of managers into several patterns and analyzed the impact of these types on corporate behavior.as aresult, it was confirmed that managers classified in one cluster tend to invest more actively in R&D thanthose classified in the other clusters.

Policy Simulation for Retirement Planning Based on Clusters Generated from Questionnaire Data

高橋大志

Smart Innovation, Systems and Technologies (Smart Innovation, Systems and Technologies) 241 285 - 298 2021

ISSN 9789811629938

In Japan, there is significant interest in life planning for generations before and after retirement, and various policy simulations are being conducted. However, there is room to improve the diversity and representativeness of individual attributes in conventional simulations. Thus, in this paper, we set up a possible person cluster by categorizing the asset status and investment status of the generation before and after retirement using individual questionnaire data. We also discuss computer simulations related to asset formation and withdrawal based on those clusters, and we examine measures to be taken to avoid asset depletion.

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The Verify of Maritime market prediction by Baltic Dry Index

YOSHIDA Mitsuhiro, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2021 ( 19 ) 2021

バルチック海運指数(Baltic Dry Index)は，鉄鋼、石炭、穀物などの原料を運ぶ国際的な海上運賃の指標で、将来の世界的な経済活動や海運関連株価を予測する上で注目されるといわれている指標である。本研究では、1985年1月4日以降の時系列の日次数値データを活用し、同指数の中期予測可能性の検証のための基礎分析を実施した。市況産業である開運会社にとって、市況を読み間違えることは多大な損失に直結し、中長期予測の有効性が確認されれば、海運会社の採用できるヘッジ手法の選択肢の拡大、ヘッジ精度の向上など、その意義は大きいと考える。

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A Study on Stock Market Reaction to Information Security Incidents: An Analysis of Japanese and Chinese Stock Markets

ZHAO Jiansen, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2021 ( 19 ) 2021

本研究では，情報セキュリティ事故に関連するニュースが，企業の株式価格へ与える影響について分析を行った．分析対象は，上場企業とし，ロイターニュースにより市場参加者へのアナウンスが行われたニュースを対象とした．ニュースの分析においては，金融分野のテキスト分析に焦点をあてたFinBERTを用いた．本研究において、イベントスタディによる手法を用い、複数の期間において、株式価格への影響について比較、分析を行った。

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Social Simulation and Management Strategy: Research on the institutional design considering the mobility of human resources

MORIMATSU Kazuya, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2021 ( 19 ) 2021

無形資産のみで売上を構成するものとした場合、企業は人材の獲得ならびに能力開発により能力を蓄え、各市場への配分の仕方において、その成果の違いが表れるだろう。その際、意思決定者は、ビジョンを元に行動の指針となる制度を設計する必要があるが、制度は通例に基づいて設計されることが多く、また、この制度設計の手法やその効果について定量的な観点からみた研究は少ないため、研究が望まれている。そこで、本研究は、産業と企業行動をエージェントベースモデルを通じてモデル化し、人材の流動性を鑑みた制度設計を通じて、優秀な業績を上げるために重要な意思決定の解明を目指す。

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Knowledge Extraction from Social Simulation Logs Using Experience Mapping Methods

KIKUCHI Takamasa, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2021 ( 19 ) 2021

社会シミュレーションの出力結果・ログからのナレッジ抽出については，様々な方法論が提案されている．当該分析手法は，モデルの開発者や分析者のみならず，その他ステークホルダーの間での認識共有・統一のために重要である．本発表では，社会シミュレーションの結果の分析及び形式的記述のために，デザイン思考の分野で用いられているエクスペリエンスマッピング手法を援用することを試みる．

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Policy Simulation on Retirement PlanningConsidering Individual Attributes

KIKUCHI Takamasa, TAKAHASHI Hiroshi

Journal of the Japan Society for Management Information (The Japan Society for Managemant Information) 30 ( 2 ) 105 - 119 2021

ISSN 0918-7324

The problem of asset formation and withdrawal after retirement in Japan is increasingly gaining interest with societal aging and longevity. However, asset depletion-related issues, including measures to prevent them, are underexplored. In this paper, we approach Japan's current asset formation and withdrawal after retirement through simulation analysis using actual data. We analyze the impact of various asset depletion measures in exogenous scenarios based on individual attributes and risk asset investment. The main results are as follows. 1) Asset depletion rate varies between asset classes, risk amounts, and expected lives. 2) Asset depletion rate does not decrease monotonically as the asset class rises. 3) Taking risks according to individual attributes is necessary to reduce asset depletion rate. 4) If asset depletion rate increases due to reduced public pension benefit level, the increase can be suppressed to a certain extent by raising the retirement age or curbing spending.

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Analysis of the reaction of the Japanese stock market by the tendency of past news transmission and news sentiments

YOON Sungjae, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2021 ( 19 ) 2021

本研究では、日本の株式市場を対象とし、ニュースデータと高頻度データを用い、過去のニュース発信傾向及びニュースのセンチメントによる出来高の反応を分析した。ニュースの分類は、ファイナンス分野の分析に提案された分析手法であるFinBERTモデルを用いた。詳細の分析は過去のニュース発信の傾向を取り入れて各ニュースのセンチメントに対する出来高の反応を評価した。分析の結果、平均的に過去のニュースの発信傾向がポジティブの情報とネガティブの情報が混在しているときがポジティブの情報とネガティブの情報のいずれかに傾いているときより、ニュースに対する出来高の反応が大きいことが分かった。この結果は、日本株式市場の市場動向の分析に貢献する興味深い結果です。

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Artificial Intelligence and Transdisciplinary Science and Technology

高橋大志, 津本周作, 堤富士雄, 松尾豊, 栗原聡, 北川源四郎, 椹木哲夫, 林勲

Oukan (Journal of Transdisciplinary Federation of Science and Technology) (Transdisciplinary Federation of Science and Technology) 14 ( 2 ) 100 - 112 2021

Joint Work, ISSN 1881-7610

Constructing a Decision-Making System Using Patent Document Analysis

Yonemura T., Matsumoto Y., Suge A., Takahashi H.

Smart Innovation, Systems and Technologies (Smart Innovation, Systems and Technologies) 241 275 - 283 2021

ISSN 9789811629938

In this study, we propose a new system to support corporate decision-making using patent documents. For R&D-oriented pharmaceutical companies, the creation of new drugs is indispensable for survival, and patents, the source of R&D, are an important factor in the creation of new drugs. In this study, we attempted to clarify the quantification of technical information in pharmaceutical companies by vectorizing the patent database DWPI using Sparse Composite Document Vectors (SCDV) for pharmaceutical companies in Japan. As a result of the analysis, we found the possibility of considering the strategy of pharmaceutical companies by visualizing patent documents.

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An Exploratory Study on Policy Evaluation of Tourism by Using Agent-Based Model

Nakamura A., Takahashi H.

Smart Innovation, Systems and Technologies (Smart Innovation, Systems and Technologies) 241 231 - 241 2021

ISSN 9789811629938

This study examines the effectiveness of pricing strategies in business hotels. Through the analysis, we will attempt to identify the impact on the lease period and sales of business hotels, and how it changes with the introduction of policy simulation. In this study, pricing strategy is considered as a policy. Through Agent-Based Simulation, we will match borrower and lender agents and analyze the results of the balance between supply and demand, and we will consider pricing strategy in our analysis. We will measure the policy effects from individual strategies, using the framework created by previous studies that considered prices. A bottom-up policy evaluation will be conducted, and exploratory studies will be conducted to determine that it is an effective tool.

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A Study of the Impact of Crypto Assets on Portfolio Risk-Return Characteristics Before and After COVID-19 Outbreak (2014–2020)

Liu M., Jotaki H., Takahashi H.

Smart Innovation, Systems and Technologies (Smart Innovation, Systems and Technologies) 241 243 - 254 2021

ISSN 9789811629938

Following the COVID-19 outbreak, unlike the plunge in traditional mainstream assets, crypto assets have performed very well. Indices that reflect changes in the crypto assets market have also grown in recent years. However, in terms of cryptocurrency index-related studies, there are not many, and the period analyzed is mostly three years. This study analyzes historical data from July 2014 to April 2020 based on the cryptocurrency index CRIX and six other traditional mainstream assets to verify the impact of crypto assets on traditional portfolios. By using the DCC-GARCH model, this study finds out the low dynamic correlation between the crypto assets and traditional ones. Furtherly, by using the mean–variance model, Cornish-Fisher expansion and T-copula CVaR approach to check the frontier line and portfolio performance, this study finds out that crypto assets have the potential to improve the risk-return characteristics of traditional portfolios.

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A Customer Experience Mapping Model for Business Case Description of Innovation and Value Co-creation

高橋大志

Smart Innovation, Systems and Technologies (Smart Innovation, Systems and Technologies) 241 255 - 264 2021

ISSN 9789811629938

We propose a mapping model for describing transition processes of customer experiences in business innovation cases. Named as System Experience Boundaries Map (SEBM), this mapping model mainly focuses on boundaries that constrain the customer latent experiences. SEBM also represents a customer-side process of business innovation as a resolution of those restrictions. Used with the Managerial Decision-Making Description Model previously presented, SEBM describes value co-creation processes between firms and customers, which involve user innovation in actual business cases. We are going to apply SEBM for log-analysis in business gaming facilitation.

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Analysis of the reaction of the Japanese stock market by the tendency of past news transmission and news sentiments

YOON Sungjae, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2021 ( 19 ) 2021

Access to Document (DOI)

Policy Simulation on Retirement PlanningConsidering Individual Attributes

KIKUCHI Takamasa, TAKAHASHI Hiroshi

Journal of the Japan Society for Management Information (The Japan Society for Managemant Information) 30 ( 2 ) 105 - 119 2021

ISSN 0918-7324

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Knowledge Extraction from Social Simulation Logs Using Experience Mapping Methods

KIKUCHI Takamasa, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2021 ( 19 ) 2021

Access to Document (DOI)

Social Simulation and Management Strategy: Research on the institutional design considering the mobility of human resources

MORIMATSU Kazuya, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2021 ( 19 ) 2021

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A Study on Stock Market Reaction to Information Security Incidents: An Analysis of Japanese and Chinese Stock Markets

ZHAO Jiansen, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2021 ( 19 ) 2021

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The Verify of Maritime market prediction by Baltic Dry Index

YOSHIDA Mitsuhiro, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2021 ( 19 ) 2021

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Policy Simulation for Retirement Planning Based on Clusters Generated from Questionnaire Data

高橋大志

Smart Innovation, Systems and Technologies (Smart Innovation, Systems and Technologies) 241 285 - 298 2021

ISSN 9789811629938

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The Relationship between Technological Distance of Firms and Innovation Activities in Mergers and Acquisitions

TAMAGAWA Nozomi, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2021 ( 19 ) 2021

本稿では，日本で行われたM&Aを対象に買収企業と被買収企業間の技術的距離と，取引前後のイノベーション活動との関係性について分析した．分析においては，特許文書データを自然言語処理技術によって解析し，各特許の価値を加味しながら技術的距離の測定を行った．分析の結果，M&A前に被買収企業が獲得した特許数が買収企業よりも多い合併案件では，案件公表後にイノベーションアウトプットが大きく低下することが分かった．また，このグループは相対的に技術的距離の値が小さいことが確認できた．本研究における新規性は，自然言語処理を用いて技術的距離を測定し，M&A発表後にイノベーションアウトプットが低下する条件や特徴を見出したことである．

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Constructing a Decision-Making System Using Patent Document Analysis

Yonemura T., Matsumoto Y., Suge A., Takahashi H.

Smart Innovation, Systems and Technologies (Smart Innovation, Systems and Technologies) 241 275 - 283 2021

ISSN 9789811629938

Access to Document (DOI)

An Exploratory Study on Policy Evaluation of Tourism by Using Agent-Based Model

Nakamura A., Takahashi H.

Smart Innovation, Systems and Technologies (Smart Innovation, Systems and Technologies) 241 231 - 241 2021

ISSN 9789811629938

Access to Document (DOI)

A Study of the Impact of Crypto Assets on Portfolio Risk-Return Characteristics Before and After COVID-19 Outbreak (2014–2020)

Liu M., Jotaki H., Takahashi H.

Smart Innovation, Systems and Technologies (Smart Innovation, Systems and Technologies) 241 243 - 254 2021

ISSN 9789811629938

Access to Document (DOI)

A Customer Experience Mapping Model for Business Case Description of Innovation and Value Co-creation

高橋大志

Smart Innovation, Systems and Technologies (Smart Innovation, Systems and Technologies) 241 255 - 264 2021

ISSN 9789811629938

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The Relationship between Technological Distance of Firms and Innovation Activities in Mergers and Acquisitions

TAMAGAWA Nozomi, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2021 ( 19 ) 2021

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Persona Design Method Based on Data Augmentation by Social Simulation

Takamasa Kikuchi, Hiroshi Takahashi

Proceedings - 2021 IEEE/ACIS 21st International Fall Conference on Computer and Information Science, ICIS 2021-Fall (Proceedings - 2021 IEEE/ACIS 21st International Fall Conference on Computer and Information Science, ICIS 2021-Fall) 136 - 143 2021

In the field of marketing, 'persona' is widely used as a method to support customer-oriented product and service design. However, in many cases, the persona design process is confined to the classification of customers based on limited attribute information projected from the past to the present using cross-sectional data. In this study, we propose a method, based on attribute information extended by social simulation, to improve the persona design process. The framework consists of the following procedures: 1) treat changes in the external environment explicitly and handle target customers' possible attribute changes (i.e., 'virtual life'); 2) classify customers based on a large quantity of attribute information supported and extended by social simulation. As a demonstration of the proposed method, this paper presents a specific case study that focuses on the customer asset situations. We conduct a simulation of customer asset situations at a future point in time, taking into account asset succession and price fluctuations of risky assets, based on individual questionnaire data concerning asset formation and withdrawal in retirement. We design personas using the conventional method and the proposed method, and we compare the two. The results show that the proposed method facilitates a) estimation of future changes in customer states, b) incorporation of possible future events in each persona, and c) consideration of future customer state changes in the state of classification of personas.

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Life Planning Support System for Older Generations Using Social Simulation Log Analysis

KIKUCHI Takamasa, TAKAHASHI Hiroshi

Transactions of the Society of Instrument and Control Engineers (The Society of Instrument and Control Engineers) 57 ( 12 ) 552 - 562 2021

ISSN 04534654

In a policy simulation for the life planning of elderly, the possibility of future asset depletion is analyzed based on clusters generated from specific attributes and segments. However, a room for improvement exists in the detailed understanding of the attributes that branch the simulation re-sults and comparative examination of possible metrics. In this study, we propose a life planning support system that combines the existing method with social simulation log analysis. This system has the following steps: I) Performs simulations based on clusters generated from the feature analy-sis of individual data. II) Grasps the overall pattern of possible results by comprehensive simula-tions based on the individual data and hierarchical classification of the obtained simulation logs. III) Considers the possible measures by comparing the results of I) and II). The main results of this study are as follows: a) Ability to grasp the threshold of the attribute that separates asset depletion and non-depletion. b) Ability to specify countermeasures that can be taken for each cluster along with numerical goals comprehensively and semiautomatically. The proposed system enables de-tailed advice from financial institutions by providing knowledge directly linked to life planning, which leads to an improvement in the effectiveness of industrial applications.

デジタルトランスフォーメーション時代の資産価格評価－データおよび情報技術の利活用と取り巻く課題－

高橋大志

証券アナリストジャーナル 59 48 - 53 2021

Accepted

Analysis of Financial Situation of Retirement Generation using Questionnaire Data

KIKUCHI Takamasa, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2020 ( BI-016 ) 08 2020.08

With the aging of society, the problem of asset formation before and after retirement isattracting attention. The issues related to asset depletion are often analyzed based on macro statistical datasuch as financial assets and disposable income. Whereas such analysis does not necessarily reflect theattributes of each individual so there is room for improvement. In this paper, as a first step to analyze thecharacteristics of the assets and household income before and after retirement, we conducted a basicanalysis using individual questionnaire data. Specifically, after showing the summary statistics of theabove data, cross tabulation was performed according to the attributes of the questionnaire respondents.We analyzed the tendency of various asset statuses and stances toward investment due to differences inresidential area and household composition.

Research on strategies of pharmaceutical companies using patent data

YONEMURA Takashi, MATSUMOTO Yusuke, SUGE Aiko, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2020 ( BI-016 ) 02 2020.08

製薬企業にとって特許は宝であり、新薬開発には欠かせない。近年、少子高齢化による社会保障費の上昇、それに伴い既存医薬品の薬価改定の㏿度が増している。新薬を矢継ぎ早に開発・販売しなければ製薬企業はたちまち衰退の道を歩むだろう。だが、新薬の開発には不確実性が高く、かつ莫大な予算が必要となってくる。その成果ともいえる特許データには製薬企業の戦略が詰まっているともいえる。本研究では、特許データベースである DWPI を用い、特許データを解析することで、製薬企業の戦略の分析を試みた。

Analysis of the impact of crypto assets on portfolio risk return performance

LIU Mengyao, JOTAKI Hiroaki, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2020 ( BI-016 ) 10 2020.08

A Study on the Potential of Dynamic Pricing Models in the Japanese Gas Market

HEO Myeongseok, MURAKAMI Eiji, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2020 ( BI-016 ) 07 2020.08

Gas and electric power are one of the essential social infrastructure for social and economicactivities. The purpose of this research is to construct a Real Time Pricing (RTP) model suitable for thedistribution and sales market of LP gas in Japan by utilizing the Dynamic Pricing Model. As a method ofpredicting demand, we would like to first create a model of power consumption and then apply it to LPgas. Analysis of customers' electric power and gas consumption can infer from what standpoint they wereconsuming public goods. Through this, we would like to offer users' reasonable prices to expand theirchoices and contribute to the efficient use of social resources.

Analysis the Effect of News Articles on the Stock Market by Summarizing and Semantic Similarity

NOYA Jun, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2020 ( BI-016 ) 05 2020.08

Stock market fluctuations are caused by various factors. This study focuses on news articles toimprove the accuracy of stock market predictions. The effect of news articles is bigger when informationthat was not predicted is public, earning surprise. We have summarized past news articles by GPT-2 todiscover news trends. We also converted the news articles into vectors and link them to stock prices bymachine learning. As a result of this analysis, we were able to improve the accuracy of stock market pre-dictions.

A Study on the Influence of Managerial Appearance on Corporate Behavior

FUKASAWA Ayumi, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2020 ( BI-016 ) 04 2020.08

In Europe and the United States, appearance is considered to be an important factor in business,and not a few studies have examined the effects of managerial appearance on corporate management andindividual success and performance. In this study, we attempt to analyze quantitatively the faces ofmanagers in Japan, which is one of the most important components of appearance, in order to elucidatewhether a similar phenomenon is found in Japan. Photographs of managers' faces are collected fromannual reports and other sources, and feature vectors are extracted. This will be clustered using theK-means method using FaceNet's trained model VGGFace2 to analyze whether there are differences inthe behavior of the companies in each cluster, i.e., how the face of the manager affects the company'sbehavior.

Network effects and the appointment of female board members in Japan

Matthias Raddant, Hiroshi Takahashi

2020.07

Network effects and the appointment of female board members in Japan

Matthias Raddant, Hiroshi Takahashi

2020.07

Interdependencies of female board member appointments

Matthias Raddant, Hiroshi Takahashi

2020.07

Interdependencies of female board member appointments

Matthias Raddant, Hiroshi Takahashi

2020.07

Untitled

NISHI Yoshihiro, SUGE Aiko, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2020 ( BI-015 ) 03 2020.03

News articles have great impacts on asset prices in the financial markets. Many attempts havebeen reported to ascertain how news influences stock prices. However, the limitations in the number ofavailable data sets usually become the hurdle for the model accuracy. In this study, we propose a newsevaluation model utilizing GPT-2. A news evaluation model is a model that evaluates news articlesdistributed to financial markets based on price fluctuation rates and predicts fluctuations in stock prices.Reuter's news texts are classified based on each return through LSTM models. Using co-occurrencenetwork analysis, we reviewed the overview of the news articles retrieved. News articles generated by GPT-2 was used with original news articles, and the model accuracy was examined. The results showed thatcreated news articles are influential over the prediction of stock price fluctuation.

Constructing valuation system through patent analysis -Evaluation of IPO offering price using patent document vectors-

FUJIWARA Shohei, MATSUMOTO Yusuke, SUGE Aiko, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2020 ( BI-015 ) 09 2020.03

Corporate valuation is an important process for determining corporate value for managersconsidering initial public offering (hereinafter IPO). However, in the IPO, the underprice phenomenonwhere the public price falls below the initial value has occurred. Due to this phenomenon, new publiccompanies suffer opportunity loss. In this study, we consider the cause of this phenomenon to be in theevaluation of corporate value and try to improve it by using patents in existing methods. Specifically,SCDVs are created based on patent documents held by companies and applied to similar companycomparison guns to evaluate the validity of the open price.

Relationship between tweet information and small-cap stocks

KATAYAMA Shinya, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2020 ( BI-015 ) 16 2020.03

Analyzing accumulation data of a restaurant

SEO Hwangsaeng, ZHANG Ying, SUGE Aiko, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2020 ( BI-015 ) 14 2020.03

本研究は、飲食店のPOSデータと顧客データを用いて企業の経営力向上に繋げるシステムの提供を目的としている。昨今のビッグデータ活用時代において、個人のデータを蓄積し利活用することの重要性が増してきている。個人が頻繁に利用しデータ取得可能な業態として飲食店が挙げられ、そこで蓄積されたデータを分析することでCRMに有用な示唆を得ることができると考える。本分析では、顧客の購買行動の特徴を明らかにし、在庫管理と販売政策について検討を行った。

The information security accident about the impact and relevance to the corporate value

MIYAUCHI Sachiko, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2020 ( BI-015 ) 12 2020.03

Information security incidents could be one of the most concerns for corporate activities.Considering these factors, this study attempts to clarify the relationship between information securityincidents and stock market reactions. In this analysis, we analyze the stock market in Japan from March2005 to January 2015. As a result of intensive analyses, we confirm the following results; (1) informationsecurity incidents have a negative impact on corporate values, (2) information security incidents withsignificant impact have long-term negative effects on stock market.

Relationship between tweet information and news articles

KATAYAMA Shinya, NISHI Yoshihiro, SUGE Aiko, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2020 ( BI-014 ) 05 2020.01

Analyzing the factors that determine the labor share of listed companies in Japan

MATSUMOTO Akihiro, SUGE Aiko, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2020 ( BI-014 ) 02 2020.01

Knowledge Graph construction using large-scale news text

ZHANG Ying, SUGE Aiko, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2020 ( BI-014 ) 11 2020.01

Analysis of Stock Price Fluctuations by Deep Learning Using News and High-Frequency Data: BERT News Evaluation

NISHI Yoshihiro, SUGE Aiko, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2020 ( BI-014 ) 04 2020.01

ニュースは金融市場の資産価格に大きな影響を与える．ニュースと株価変動の関係性を分析し，ニュースを評価する取り組みはこれまでに多く行われており，ニュースと株価変動の間には関連性があると報告されている．しかしながら，ニュースは非構造化データであり，定型的に精度高く処理し，分析に用いることは難しい．本研究では，多くの自然言語読解タスクでSOTA(State of the Art)を達成している BERT を用いて株式変動を説明するニュース評価モデルを構築し，実証分析を行い，従来の分類モデルよりも高い正答率を得られるか検証を行った．本研究における分析の結果，BERT を用いたニュース評価モデルの精度が最も高かった．

Proposal of human resources employment strategy of labor market in food service based on agent-based model

SEO Hwangsaeng, SUGE Aiko, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2020 ( BI-014 ) 07 2020.01

Evaluation of IPO offering price using patent document vectors

FUJIWARA Shohei, MATSUMOTO Yusuke, SUGE Aiko, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2020 ( BI-014 ) 09 2020.01

There are many previous studies on IPO open prices. In particular, underpricing,where the public price is lower than the initial price, is an important issue from themanagement's point of view, as it causes loss of opportunity for issuers. Various hypothesesabout the cause of underpricing have been made by previous research. In this research, wefocus on the calculation of corporate value when determining the open price. Specifically,SCDV was created based on patent documents owned by the company. Next, a similarcompany comparison method was performed by selecting similar companies based on thecreated document vectors, and the validity of the open price was attempted.

News Articles Evaluation Analysis in Automotive Industry Using GPT-2 and Co-occurrence Network

Nishi Y, Suge A, Takahashi H

Joint Work, ISSN 9783030587895

News articles have great impacts on asset prices in the financial markets. Many attempts have been reported to ascertain how news influences stock prices. Stock price fluctuations of highly influential companies can have a major impact on the economy as a whole. In particular, the automobile industry is a colossal industry that leads the Japanese industry. However, the limitations in the number of available data sets usually become the hurdle for the model accuracy. In this study, we constructed a news evaluation model utilizing GPT-2. A news evaluation model is a model that evaluates news articles distributed to financial markets based on price fluctuation rates and predicts fluctuations in stock prices. We have added news articles generated by GPT-2 as data for analysis. Besides, we used a co-occurrence network analysis to review the overview of the news articles. News articles were classified through Long Short-Term Memory (LSTM). The results showed that the accuracy of the news evaluation model improved by generating news articles using a language generation model through GPT-2. More detailed analyses are planned for the future.

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Classification of Simulation Results for Formal Description of Business Case

KIKUCHI Takamasa, KUNIGAMI Masaaki, TAKAHASHI Hiroshi, TORIYAMA Masahiro, TERANO Takao

Journal of the Japan Society for Management Information (The Japan Society for Managemant Information) 29 ( 3 ) 199 - 214 2020

Joint Work, ISSN 0918-7324

An approach in organizational research compares actual business cases with the logs of organizational simulation. In this approach, to compare business cases and simulation logs efficiently, an analysis method that targets only the types of micro-logs, and not micro-logs that indicate detailed records of individual agent behavior, has been proposed. However, the method is dependent on the analyst's knowledge of the simulation model. Consequently, a room for improvement prevails in relation to the need to set log types in advance. Therefore, in this paper, a methodology that extends the following two points by employing the clustering method to micro-log analysis of the organizational simulation is proposed. First, the analyst does not have to set the type of simulation log in advance. Second, the analyst could change the analysis granularity of the simulation log. Further, we constructed an agent-based model that represents the decision-making process related to the external environment recognition of an organization and illustrated that the requirements of the proposed method are satisfied.

Corporate value evaluation using patent document vector

FUJIWARA Shohei, MATSUMOTO Yusuke, SUGE Aiko, TAKAHASHI Hiroshi

Proceedings of the Annual Conference of JSAI (The Japanese Society for Artificial Intelligence) 2020 ( 0 ) 3Rin456 - 3Rin456 2020

Joint Work

Corporate valuation is one of the important financial modeling in IPO and M & A. In particular, at the time of IPO, there is no underlying stock price information, so its price depends on the result of corporate valuation. However, the offer price at the time of the IPO often has an under-pricing in which the public price falls below the initial value, resulting in an opportunity loss for the issuer company. Although many previous studies have referred to this issue, no consensus has yet been obtained. In this study, we consider that there is room for improvement in the corporate value evaluation model and try to evaluate the corporate value by reproducing the initial value of a newly listed company using patent information. Specifically, first, Derwent World Patents Index held by the company is extracted, and the patent document is vectorized by using Sparse Composite Document Vector. Next, the center of gravity of the patent is calculated from the vectorized patent document, and the similarity between the companies is expressed by the distance to select similar companies. Finally, using the selected companies, a comparable peer company multiple method is performed to evaluate the validity of the stock price. In conclusion, it is suggested that the model is more explanatory than using industry average financial figures. In this study, we analyzed feasibility of our proposed method.

Construction and Analysis of News Evaluation Model for Electric Manufacturers Using Natural Language Generation through GPT-2

NISHI Yoshihiro, SUGE Aiko, TAKAHASHI Hiroshi

Proceedings of the Annual Conference of JSAI (The Japanese Society for Artificial Intelligence) 2020 ( 0 ) 4Rin172 - 4Rin172 2020

Joint Work, ISSN 2758-7347

News articles distributed in financial markets are essential information that affects asset valuation. Many studies have analyzed the impact of delivered news articles on stock price fluctuations. However, the number of news articles is limited, and the limit on the number of data that can be obtained affects the accuracy of analysis using deep learning. In this study, we constructed a news evaluation model based on stock price fluctuation before and after news article distribution and tried to improve the accuracy of the model by generating news articles through GPT-2. The analysis target was a Japanese electronics manufacturer, and analysis was performed using a news evaluation model. As a result of the analysis, we found that there is a possibility that the generation of news articles through GPT-2 can improve the accuracy of the news evaluation model.

Construction of news article evaluation system using language generation model

Nishi Y, Suge A, Takahashi H

Smart Innovation, Systems and Technologies (Smart Innovation, Systems and Technologies) 186 313 - 320 2020

Joint Work, ISSN 9789811557637

© The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Nature Singapore Pte Ltd 2020. This study constructed a news article evaluation system that utilizes a language generation model to analyze financial markets. This system enables us to analyze the effect of news articles distributed in financial markets on the stock price of a company. We added the generated news articles as data for analysis through GPT-2 and verified the accuracy of the constructed system. As a result of empirical analyses, we confirmed that the accuracy of the model with the generated news articles improved. More detailed analyses are planned for the future.

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Constructing a valuation system through patent document analysis

Fujiwara S, Matsumoto Y, Suge A, Takahashi H

Smart Innovation, Systems and Technologies (Smart Innovation, Systems and Technologies) 186 321 - 330 2020

Joint Work, ISSN 9789811557637

© The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Nature Singapore Pte Ltd 2020. In the Initial Public Offering (IPO), many prior studies have discussed underpricing, where the public price is below the initial price. In this study, we propose a novel system for company valuation employing patent document analysis. Specifically, we first extracted patent document data published from 2001 to 2015 and vectorize them through Sparse Composite Document Vectors (SCDV). Similar companies in this study refer to the same industry, products handled, and business scale. However, there are various theories on what should be treated as similar companies. Next, the center of gravity is calculated from the vectorized patent document, and comparable companies are selected by expressing the distance between companies. A detailed analysis is planned for further study.

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A formal, descriptive model for the business case of managerial decision-making

Kunigami M, Kikuchi T, Takahashi H, Terano T

Smart Innovation, Systems and Technologies (Smart Innovation, Systems and Technologies) 186 355 - 365 2020

Joint Work, ISSN 9789811557637

© The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Nature Singapore Pte Ltd 2020. This paper proposes a formal descriptive model of organizational decision-making called the Managerial Decision-Making Description Model (MDDM). This model introduces visual representations to describe managerial decisions that redefine relationships between their objectives and resources. The MDDM describes various business cases and enables us to compare these decision-making processes. This paper presents the MDDM’s methodologies and describes, and compares, the decision diagrams extracted from actual business cases and organizational agent-based simulation (ABS) logs as virtual business cases.

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飲食業界における労働市場-エージェントベースモデルによる分析

高橋大志

第 82 回全国大会講演論文集 2020

Single Work

機械学習を用いた上場企業の労働分配率および平均給与の説明可能性に関する検討

高橋大志

第 82 回全国大会講演論文集 2020

Single Work

大規模言語生成モデルによるニュース生成を用いたニュース評価モデルの構築

高橋大志

第 82 回全国大会講演論文集 2020

Single Work

大規模ニューステキストを用いたナレッジネットワーク構築

高橋大志

第 82 回全国大会講演論文集 2020

Single Work

Language generation by GPT-2 and text analysis of economic fluctuations forecast through LSTM

NISHI Yoshihiro, SUGE Aiko, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2019 ( BI-013 ) 08 2019.10

Economic fluctuations have a great impact on business management. In this study, we explorethe method to improve the accuracy of the prediction model of the economic fluctuation using the economicwatcher survey reported by the Cabinet Office, the Government of Japan. The economic watcher surveyincludes interviewees' answers in the text and the economic business trend tag for each answer. Theclassification was attempted through the LSTM model. As a result of the analysis, we found the predictionaccuracy could be improved by using texts generated by GPT-2. Further examination of the classificationmodel will be planned.

Analyzing the factors that determine the labor share of listed companies in Japan

MATSUMOTO Akihiro, SUGE Aiko, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2019 ( BI-013 ) 10 2019.10

Testing an agent-based model of the labor market: food-service industry and non-regular employment

SEO Hwangsaeng, SUGE Aiko, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2019 ( BI-013 ) 11 2019.10

Personal Life Planning Simulation using Agent-based Model

KIKUCHI Takamasa, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2019 ( BI-013 ) 07 2019.10

本邦では，社会の高齢化・長寿化が進展にするにつれ，資産の形成や取崩し，承継領域に係る論点について関心が高まっている．しかし、退職後の資産取崩しを前提とした資産形成・運用に関して，必ずしも理論や基本的な考え方が整備されているとは言い難い．そこで本稿では，著者らが提案している資産形成や取り崩しに係るエージェントモデルを拡張する．外生的に与える各種シナリオにおいて，個人の意思決定が資産枯渇に与える影響を分析する．

Causal network construction using large-scale news text

ZHANG Ying, SUGE Aiko, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2019 ( BI-013 ) 06 2019.10

Identifying equity influencers on Twitter

KATAYAMA Shinya, SUGE Aiko, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2019 ( BI-013 ) 03 2019.10

Selection of comparable company using patent document vectors

FUJIWARA Shohei, MATSUMOTO Yusuke, SUGE Aiko, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2019 ( BI-013 ) 02 2019.10

The number of M&A and IPO implementations has been increasing year by year, and the capitalmarket has become more active. Along with those situations, when a manager examines M&A and IPO, thecorporate value calculation is an important decision-making index. This paper attempts to improve theaccuracy of selecting similar companies in the process of comparable company analysis and DCF methods.Specifically, Sparse Composite Document Vector (SCDV) was created based on published patentdocuments. Next, similar companies were selected by calculating the distance between companies from thedocument vector made by SCDV.

Estimating the Synergy Effect and the Corporate Activity

MATSUMOTO Yusuke, SUGE Aiko, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2019 ( BI-012 ) 02 2019.03

Customer Behavior Research for Customer Relationship Management in High-end Sushi Shop

SHIN Kiyotaka, QU Xueyin, SUGE Aiko, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2019 ( BI-012 ) 04 2019.03

This research aims to construct a system that leads the improvement of restaurantcompetitiveness by using POS data. The labor productivity of the food-service industry in Japan is very low, haslong suffered from lack of personnel and continues to struggle maintaining talent. In order to solve this problem,we analyzed the POS data and customer data of a high-end sushi shop with a high customer unit price andhypothesized that several factors may affect customers' loyalty through CRM (Customer RelationshipManagement). Besides, this study contributes to identify loyal customers through purchasing behavior.

Proposal of An Agent Model for Personal Life Planning

KIKUCHI Takamasa, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2019 ( BI-012 ) 09 2019.03

本邦では，社会の高齢化・長寿化が進展にするにつれ，資産寿命を延伸することの重要性が高まってきている．しかし，資産の形成や取り崩し，承継領域に係る論点については，必ずしも議論が深まっているとは言えない状況にある．特に，退職後の資産取り崩しを前提とした資産形成・運用に関して，理論や基本的な考え方の整備，個人の特性に応じた助言・コンサルティングの枠組みの高度化など，様々な検討を進める必要がある．そこで本稿では，個人の特性やライフイベントを勘案したキャッシュフローマネジメントに係るシミュレーションの枠組みを提案する．資産形成や取り崩しに係る個人の意思決定を取り扱うエージェントモデルを構築し，外生的に与える各種シナリオにおいて，資産枯渇に与える影響を分析する．

Analyzing the Relationship between Weekly Effect in Chinese Stock Markets and News Articles using a Financial Polarity Dictionary

QU Xueyin, SUGE Aiko, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2019 ( BI-012 ) 07 2019.03

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

TAKAYAMA Liliko, SUGE Aiko, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2019 ( BI-011 ) 11 2019.01

Research of High-end Barbecue Beef Restaurants Based on Consumer Purchase Data by Machine Learning and FinTech Application

SHIN Kiyotaka, SUGE Aiko, YAMASHITA Yasuo, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2019 ( BI-011 ) 06 2019.01

The purpose of this research is to realize service that leads to improvement of management ability byusing POS data of restaurant service industry. The labor productivity of the food-service industry in Japan isvery low, has long suffered from lack of personnel and continues to struggle maintaining talent. Therefore, as ameasure to solve this problem, we analyzed the POS data of a High-end barbeque shop with a high customerunit price, making a hypothesis that the improvement per customer price per customer is effective.And Weclarify the characteristics of customer's purchasing behavior and examine the sales policy including FinTechapplication using machine learning.

The Relationship Between the Characteristics of Company Executives and Their Companies Observed Through Facial Emotions and Text Analysis - Analysis of Nikkei 225 Firms -

SAISHO Atsutaka, SUGE Aiko, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2019 ( BI-011 ) 09 2019.01

Company executives play an important role in corporate activities. In this research, we focus onthe characteristics of the top executive, who make the important decisions. We attempt to measure the facialemotional score of these executives from the photographs published on their firm's annual report. Inaddition, we create a narcissism index from the number of times these executives appear on their reports.Finally, we analyze how these emotional scores or narcissism indexes relate with their company'sperformance and behavior.

Rental price analysis with an agent-based simulation? A case study of Shimokitazawa?

ZHANG Zhenkun, OTA Akira, SUGE Aiko, KANEDA Toshiyuki, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2019 ( BI-011 ) 02 2019.01

Analysis of the relationship between news reports and commodity futures prices; through the examples of corn, soy bean and wheat

ITO Takema, SUGE Aiko, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2019 ( BI-011 ) 12 2019.01

News reports can be one of the main factors that influence commodity futures prices. In thispaper, we conducted analysis on the relationship between news reports and commodity futures. Firstly, wedeveloped a fluctuation index of the futures prices on a daily basis, through event study. Next wevectorized the news report data and analyzed their relationships with the futures prices. In this analysis,we used the multivariate autoregressive model to examine the possibilities of forecasting commodityfutures prices by using the news report index. We also analyzed the relationship between the news indexdeveloped in this paper and the stock prices of enterprises related with commodity futures.

Estimating the synergy effect and its relevance to corporate behavior -Analysis of Japanese companies-

MATSUMOTO Yusuke, SUGE Aiko, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2019 ( BI-011 ) 07 2019.01

Debriefing Framework for Business Games Using Simulation Analysis

Kikuchi T., Tanaka Y., Kunigami M., Yamada T., Takahashi H., Terano T.

Communications in Computer and Information Science (Communications in Computer and Information Science) 999 64 - 76 2019

Joint Work, ISSN 9789811369353

© 2019, Springer Nature Singapore Pte Ltd. Researchers are aware of the importance of debriefing in gaming. However, there has been little progress in establishing a methodology for evaluating player behavior. Therefore, we propose a framework to support the evaluation of player behavior in business games using computers. Specifically, we introduce a simulation analysis methodology that involves the following steps: (1) constructing an agent-based model based on the subject of the business game and categorizing simulation-logs; and (2) mapping logs of player behavior onto typed results. In this way, the positioning of the player in the overall simulation scenario is visualized, and a range of possible results is presented. Both players and facilitators receive information that is useful for debriefing.

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Customer Classification Through Time Series Order Data Analysis in High-end Barbecue Beef

SHIN Kiyotaka, QU Xueyin, SUGE Aiko, YAMASHITA Yasuo, TAKAHASHI Hiroshi

Proceedings of the Annual Conference of JSAI (The Japanese Society for Artificial Intelligence) 2019 ( 0 ) 2H1J202 - 2H1J202 2019

Joint Work

The purpose of this research aimed at the improvement of management skills using POS data of restaurant service industry, focusing on customer configuration which is the most important factor in restaurant management. In addition to customer configuration, this analysis takes the time series order data into account which leads to the possibility of better classification. By obtaining more sophisticated knowledge of customer configuration, more value-added services and more efficient management will be expected.

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Examination of Behavioral Divergence of Investors against the News through High-Frequency Trading Analyses

Suge Aiko, Takahashi Hiroshi

Abstracts of Annual Conference of Japan Society for Management Information (THE JAPAN SOCIETY FOR MANAGEMENT INFORMATION (JASMIN)) 201906 ( 0 ) 273 - 275 2019

Joint Work

While general investment behaviors on the news are comprehended through market movements, individual investor's actions are rarely observed. This research focused on stock trading on the October 31, 2014 and empirically analyzed investor behavior against the released news on that day. Records that we analyzed reflected High-Frequency Trading (HFT), so that we can target short-term investor behavior. As a result, divergence between principal and intermediary (agent) investment were determined as well as individual investment behavior.

Estimating Risk Factors with High Frequency Data through Principle Component Analysis

NASU Kentaro, YAMASHITA Yasuo, TAKAHASHI Hiroshi

Proceedings of the Annual Conference of JSAI (The Japanese Society for Artificial Intelligence) 2019 ( 0 ) 4Rin129 - 4Rin129 2019

Joint Work

This paper proposes a unique estimation method of Jump Factor with high frequency data. Our method employs bi-power variation technique and principle component analysis. Proposed method is unique and exhibits a new measure for financial risk. In this study, we calculated four Jump Factors in United States and Germany and integrated them through principle component analysis. In addition, we could confirm the influence of Jump Factors on financial markets by using the proposed method.

Explaining Log Data of Agent-Simulation Results with Managerial Decision-Making Description Model

Kikuchi Takamasa, Kunigami Masaaki, Takahashi Hiroshi, Toriyama Masahiro, Terano Takao

STUDIES IN SIMULATION AND GAMING (Japan Association of Simulation And Gaming) 29 ( 1 ) 36 - 48 2019

Joint Work, ISSN 1345-1499

To understand social and organizational phenomena and connect them to the design of a system, an approach to implement an agent-based model and a case study have been proposed. In this study, we propose a methodology that extends the approach to the following two points i.e., 1) analyzing not the micro-level simulation logs themselves but the patterns of micro-level logs and 2) describing the interpretations of the business cases formally by using an abstract description language. To confirm the feasibility of our proposed methodology, an agent-based model that expresses the decision-making process concerning external environment recognition of an organization was established. For systematically analyzing, we generated the simulation logs from the model via many trials by using the random search method comprehensively. Furthermore, we adopt the Managerial Decision-making Description Model as an abstract description language and wrote down two actual business cases with similar themes; a top-down-type decision-making case and a bottom-up-type decision-making case. Moreover, the comparisons of the business cases with similar themes were performed. Hence, this new methodology enables 1) to comprehensively understand the results and processes of the simulation and to discuss the occurrence frequency and 2) to express the simulation logs and actual business cases in the same format by case description language to compare them.

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Analysis of the Effect of Financial Regulation on Market Collapse Process in Financial Network

Kikuchi T., Kunigami M., Yamada T., Takahashi H., Terano T.

Smart Innovation, Systems and Technologies (Smart Innovation, Systems and Technologies) 148 249 - 262 2019

Joint Work, ISSN 9789811386787

© 2020, Springer Nature Singapore Pte Ltd. This study focuses on the influence of the market collapse process of financial institutions under financial regulation on financial systems. For this purpose, the authors expand simulation models of systemic risks expressing financial regulation and the financing behavior of financial institutions. Using this model, scenario analysis is performed how the collapse process in the financial system changes due to the balance sheet constraint. Our numerical experiment shows that (1) as the amount of marketable assets is increased, the type of failed process with high occurrence changes, and (2) when there is a balance sheet restriction, the frequency of chain collapse is suppressed.

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経営意思決定表現モデルを用いたビジネスケースとエージェントモデルの意思決定過程の形式的記述

菊地剛正，國上真章，高橋大志，鳥山正博，寺野隆雄

情報処理学会論文誌 60 ( 10 ) 1704 - 1718 2019

Research paper (scientific journal), Joint Work, Accepted, ISSN 1882-7764

組織研究では，ビジネスケースや組織シミュレーションを用いるアプローチがある．自然言語により記述されたビジネスケースや多数のシミュレーション・ログには，解釈や認識の多義性が生じうる．そのため，ケースやモデルの作成者や分析者の間で，当該多義性を低減することが重要となる．なぜならば，双方の接近法の間での議論やコミュニケーションを活発化し，効率的な事例比較を行うために不可欠だからである．本稿では，ビジネスケースに係る抽象的記述言語を用いることで，実在のビジネスケースと組織シミュレーションのシミュレーション・ログにつき，それぞれの意思決定プロセスを可視化し，形式的に記述・表現しうることを例示する．
In organization research, there are approaches using business cases and organizational simulations. Business cases described in natural language and numerous simulation logs may have ambiguity in interpretation and recognition. Therefore, it is important for creators and analysts of cases and models to reduce such ambiguity. This is because activating discussions and communication between the two approaches, which is indispensable for efficient case comparisons. In this paper, we demonstrate that each decision making process are able to be visualized and formally described for actual business cases and simulation logs of organizational simulation by using an abstract description language for business cases.

ビジネスケース記述言語を用いたエージェントシミュレーションログの分析手法

菊地剛正，國上真章，高橋大志，鳥山正博，寺野隆雄

シミュレーション＆ゲーミング 2019

Research paper (scientific journal), Joint Work, Accepted

自然言語処理による景況感ニュース指数の構築とボラティリティ予測への応用

五島圭一, 高橋大志, 山田哲也

金融研究 (日本銀行金融研究所) 38 ( 3 ) 1 - 41 2019

Research paper (scientific journal), Joint Work, Accepted, ISSN 0287-5306

Agent-based Simulation of Financial Institution’s Investment Strategy under Easing Monetary Policy on Operative Collapses

Takamasa Kikuchi, Masaaki Kunigami, Takashi Yamada, Hiroshi Takahashi, Takao Terano

Journal of Advanced Computational Intelligence and Intelligent Informatics 22 ( 7 ) 1026 - 1036 2019

Joint Work

Capturing Corporate Attributes in a New Perspective through Fuzzy Clustering

Yusuke Matsumoto, Aiko Suge, Hiroshi Takahashi

In: Kojima K., Sakamoto M., Mineshima K., Satoh K. (eds) New Frontiers in Artificial Intelligence, Lecture Notes in Computer Science (Springer) 11717 LNAI 19 - 23 2019

Research paper (international conference proceedings), Joint Work, Accepted, ISSN 9783030316044

© 2019, Springer Nature Switzerland AG. Although industrial classification plays an important role in various contexts, it is rarely questioned. However, as diversification and business transformation are ongoing, it is becoming difficult to recognize company’s real business. Therefore, there is not enough to allocate one type of business class to express the situation of the company, and a new type of industrial classification system is required. Through the analysis, we construct a new industrial classification system with Fuzzy C Means (FCM). This study also confirms the validity of proposed method through composite variance and absolute prediction error (APE). As the result, we present that there is a possibility that we are able to represent one company with overlapping industry, so to speak, assign one company more than two industries.

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Improvement of classification accuracy by large-scale language generation model:Classification analysis of TOPIX Core30 companies through LSTM

Nishi Yoshihiro, Suge Aiko, Takahashi Hiroshi

Proceedings of the Conference of Transdisciplinary Federation of Science and Technology (Transdisciplinary Federation of Science and Technology) 2019 ( 0 ) B - 5-6 2019

Joint Work

News has great impacts on asset prices in the financial markets. Many attempts have been reportedto ascertain how news influences stock prices. However, the limitations in the number of available data sets usuallybecome the hurdle for the model accuracy. In this study, Reuter's news texts were classified based on eachreturn through LSTM models. As a result of the analysis, we found the prediction accuracy could be improvedby using texts generated by GPT-2. Further examination of the classification model will be planned.

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日本の労働分配率の低下を防ぐための政策提言の可能性について

高橋大志

2019

Single Work

大規模言語生成モデルによる分類精度の向上 LSTM による TOPIX Core30 企業の分類分析

横幹連合コンファレンス予稿集第 10 回横幹連合コンファレンス 2019

ニュースによるナレッジグラフの構築

高橋大志

2019

Single Work

ニュースおよび高頻度データを用いたディープラーニングによる株式変動の分析

高橋大志

2019

Single Work

エージェントベースモデルによる飲食業界における労働市場のシミュレーション分析

高橋大志

2019

Single Work

Text analysis on the stock market in the automotive industry through fake news generated by GPT-2

Nishi, Y and Suge, A and Takahashi, H

Proceedings of the Artificial Intelligence of and for Business 2019

Text analysis on the stock market in the automotive industry through fake news generated by GPT-2

Nishi, Y and Suge, A and Takahashi, H

Proceedings of the Artificial Intelligence of and for Business 2019

Empirical analysis of the relationship between the characteristics of company executives observed through facial emotions and their companies - Analysis of Nikkei 225 firms -

SAISHO Atsutaka, SUGE Aiko, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2018 ( BI-010 ) 10 2018.09

Company executives play an important role in corporate activities. In this research, we focus onthe characteristics of the top executive of each company, who make the important decisions. We attemptto measure the facial emotional score of these executives from the photographs published on their firm'sannual report. In addition, we create a narcissism index from the number of times these executives appearon their reports. Finally, we analyze how these emotional scores or narcissism indexes relate with theircompany's performance and behavior.

Research of High-end Barbecue Beef Restaurants Based on Consumer Purchase Data by Machine Learning

SHIN Kiyotaka, SUGE Aiko, YAMASHITA Yasuo, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2018 ( BI-010 ) 05 2018.09

This research aims to improve the services of the food-service industry so it can lead to bettermanagement.The labor productivity of the food-service industry in Japan is very low, has long suffered fromlack of personnel and continues to struggle maintaining talent. Therefore, as a measure to solve this problem, weanalyzed the POS data of a luxury barbeque shop with a high customer unit price, making a hypothesis that theimprovement per customer price per customer is effective.And clarifying the purchasing behavior of eachproduct target using Machine Learming.

A Formal Description Model for Buniness Case and Simulaiton Log from Agent-based Model

KIKUCHI Takamasa, KUNIGAMI Masaaki, TAKAHASHI Hiroshi, TORIYAMA Masahiro, TERANO Takao

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2018 ( BI-010 ) 08 2018.09

組織におけるビジネス構造の転換を伴う経営意思決定を形式的かつ比較可能に表現するモデルとして，「経営意思決定記述モデル」(MDDM)が提案されている．当該モデルは，実際のビジネスケースやエージェントモデルのシミュレーション・ログを一定の共通形式で表現できる可能性が指摘されている．本稿では，企業組織の外部環境に対する認識の伝播を扱った実際のビジネスケースをMDDMを用いて記述した．更に，エージェント・ベースの組織シミュレーションモデルを構築し，シミュレーション・ログから生成された仮想ケースを同様に記述した．その上で，リアルなケースとバーチャルなケースの双方が相互比較可能であることを示した．

Measurement of Synergy Effect between business and Relevance in M&A

MATSUMOTO Yusuke, SUGE Aiko, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2018 ( BI-010 ) 03 2018.09

As business environment changes rapidly, companies must respond to the change. As one ofcountermeasures against big change, divestment by M&A is becoming one of the options. In this paper, weclassify the industries by using FCM in order to reflect the trend in industrial classification that businessstructure changes drastically, we analyze what kind of companies divest business. As a result of analyzingduring 15 years from 2002 to 2016, we found that companies with higher debt ratio would divest thebusiness. Analyzing the effectiveness of industrial classification by fuzzy c means is one of our future works.

Building a Financial Polarity Dictionary for News Analytics Using Stock Price Information on Chinese Stock Markets

QU Xueyin, SUGE Aiko, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2018 ( BI-010 ) 09 2018.09

The paper proposes a method of building a sentiment dictionary using news and stock prices inChina markets by textual analysis in finance. In order to obtain the amount of word polarities, weassociated the frequencies of the news' one-hot wordlist to the abnormal change rate of stock prices onthe publish date which is calculated by the method of the event study. We conducted the support vectorregression (SVR) and build a sentiment dictionary with polarity data from learners. Furthermore, weattempt to predict the news polarities by using the sentiment dictionary.

The Analysis of Trading Martkets through Agent-based Modeling: Information disparity and markets

LI Shengyang, SUGE Aiko, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2018 ( BI-008 ) 06 2018.01

近年、情報に対する関心が高まっている。個人が情報を獲得・処理するには様々な技術が必要とされる。このような中、近年、技術を有する主体と、有せず情報処理ができない主体との格差が広がる可能性がある。本研究では、取引市場を対象とし、主体が保有している情報の格差が、個々の主体及び市場全体に及ぼす影響についてエージェント・ベース・モデルを通じ分析する。本研究では、情報の保有が特に有益となる可能性のある相対取引に焦点を当て分析を試みる。具体的には、sugarscapeのモデルを用い、個人（エージェント）の情報格差を移動行動と取引条件に反映する。今後の課題として、金融市場への応用とよりエージェント学習の高度化を検討する。

Study on equity portfolio screening through machine learning

HAN Yuancao, SUGE Aiko, TAKAHASHI Hiroshi

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2018 ( BI-008 ) 10 2018.01

近年、機械学習のアルゴリズムが発達し、様々な分野において応用がなされている。資産運用分野においても、企業の業績予測、倒産予測などをはじめとし、数多くの応用事例が報告されている。このような中、本研究では、株式ポートフォリオ構築時における個別銘柄のスクリーニングへの応用を試みる。具体的には、月ごとにTOPIXなどのインデックスに含まれる株式の中からポートフォリオに保有しない銘柄を機械学習を用いて分類し、優れたポートフォリオの構築を目的とする。本分析では、複数の機械学習手法を用いて、ポートフォリオ構築し、それらポートフォリオの収益性について分析を行う。

Analysis of Relation Between Office Rent and Evaluation of Locatiion Using Space Syntax Theory -A case study of the Kanda Station-

OTA Akira, TAKAHASHI Hiroshi, KANEDA Toshiyuki

JSAI Technical Report, Type 2 SIG (The Japanese Society for Artificial Intelligence) 2018 ( BI-008 ) 02 2018.01

The location is important for the real estate management business, but it is difficult to be quantified. As a case study of the Kanda station, the correlation analysis of office rent was examined with building and location measures. The location measures include visibility and integration value by space syntax theory other than the distance from station as candidate factor variables. These measures represent visible area and street network integration. The result showed positive correlation between office rent and visibility, integration value can be seen.

Agent-based simulation of financial institution investment strategy under easing monetary policy for operative collapses

Kikuchi T., Kunigami M., Yamada T., Takahashi H., Terano T.

Journal of Advanced Computational Intelligence and Intelligent Informatics (Journal of Advanced Computational Intelligence and Intelligent Informatics) 22 ( 7 ) 1026 - 1036 2018

Joint Work, ISSN 13430130

© 2018 Fuji Technology Press. All rights reserved. Europe and Japan have both adopted negative interest rate policies as part of their monetary easing measures. However, despite the benefits that are claimed to be associated with increased lending demand, significant concerns exist regarding an increased burden on private financial institutions as a result of the application to their excess reserves. In this paper, we focus on the risks associated with increased investment of surplus funds for the operation of financial institutions. We propose an agent-based model for interlocking specific bankruptcy based on changes in financial situations as a result of market price fluctuations involving assets held by financial institutions. To extend the proposed model to handle macro market shocks, we describe decision making regarding funds that are surplus to the operation of financial institutions. Additionally, we analyze the impact of price declines involving marketable assets on financial systems.

Do news articles have an impact on trading? - Korean market studies with high frequency data

Yoon S., Suge A., Takahashi H.

Joint Work, ISSN 9783319937939

© 2018, Springer International Publishing AG, part of Springer Nature. News is an important source of information for investment decision-making. Many studies analyzing listed companies in the US & Japan have been reported. However, the number of studies focusing on Korean stock markets is limited. This study analyzes the influence of news articles on Korean stock markets with high frequency trading data. Especially, we focus on analyses of the relationship between news articles and financial markets. Furthermore, we also analyze differences in market reactions according to language (English or Korean) of news articles and present three case studies.

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Simulation of the effect of financial regulation on the stability of financial systems and financial institution behavior

Kikuchi T., Kunigami M., Yamada T., Takahashi H., Terano T.

Smart Innovation, Systems and Technologies (Smart Innovation, Systems and Technologies) 96 341 - 353 2018

Research paper (international conference proceedings), Joint Work, ISSN 9783319920306

© Springer International Publishing AG, part of Springer Nature 2019. This study focuses on the influence of financial institutions’ behavior under financial regulation on financial systems. For this purpose, the authors propose simulation models of systemic risks expressing financial regulation and the financing and investment behavior of financial institutions. Using this model, scenario analysis is performed based on cases generated from a combination of various regulations. We then approach the issue of the trade-off between the stability of the financial system and a decline in liquidity. Our numerical experiment shows that the liquidity of marketable assets could be reduced by imposing a BS restriction.

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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─

TAKAHASHI Hiroshi

日本不動産学会誌 31 2018

Research paper (scientific journal), Joint Work

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 (特集ビッグデータと金融の未来)

菅愛子, 高橋大志

証券アナリストジャーナル= Securities analysts journal 2018

Research paper (scientific journal), Joint Work

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

Aiko SUGE,Hiroshi TAKAHASHI

証券アナリストジャーナル 56 ( 12 ) 15 - 24 2018

Research paper (scientific journal), Joint Work

Do News Articles Have an Impact on Trading? - Korean Market Studies with High Frequency Data- (to appear)

Sungjae Yoon, Aiko Suge, Hiroshi Takahashi

(Springer) 129 - 139 2018

Research paper (international conference proceedings), Joint Work, Accepted

Agent-based Simulation of Financial Institution’s Investment Strategy under Easing Monetary Policy on Operative Collapses

Takamasa Kikuchi, Masaaki Kunigami, Takashi Yamada, Hiroshi Takahashi, Takao Terano

Journal of Advanced Computational Intelligence and Intelligent Informatics 22 1026 - 1036 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－

TAKAHASHI Hiroshi

日本不動産学会誌 31 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 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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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

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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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

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.

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

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.

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

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.

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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

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

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

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

ニュースを用いたCSR 活動が株価に与える影響の分析

TAKAHASHI Hiroshi

日本金融・証券計量・工学学会(JAFEE) ジャフィー・ジャーナル 2016

Research paper (scientific journal), Joint Work, Accepted

Analysis of the Influences of Central Bank Financing on Operative Collapses of Financial Institutions using Agent-based Simulation

Takamasa Kikuchi, Masaaki Kunigami, Takashi Yamada, Hiroshi Takahashi, Takao Terano

PROCEEDINGS 2016 IEEE 40TH ANNUAL COMPUTER SOFTWARE AND APPLICATIONS CONFERENCE WORKSHOPS (COMPSAC), VOL 2 (IEEE) 95 - 104 2016

Accepted, ISSN 0730-3157

Studies on financial crisis have focused on "systemic risk", whereby the collapse of one or more financial institutions has a ripple effect on the financial system itself. To prevent the occurrence or spread of such risks, a variety of discussions and studies have examined the role of central banks. This study deals with a case where central banks play a critical backup role in interbank markets. To realize the study aims, the authors develop an agent-based simulation platform and analyze the influences of central bank financing on operative reaction collapses of financial institutions. The main results are as follows: First, their financing may prevent operative reaction collapses by easing cash-flow situations. Additionally, there exist other risks such as financial institutions becoming excessively dependent for funding on the central bank, and unhealthy institutions remaining alive when they deserve to fail.

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企業活動とマーケット ─財務上の意思決定と企業のステークホルダ─

TAKAHASHI Hiroshi

人工知能 30 ( 4 ) 437 - 444 2015

Research paper (scientific journal), Single Work

Analyzing the Influence of Market Conditions on the Effectiveness of Smart Beta

TAKAHASHI Hiroshi

Agent and Multi-Agent Systems: Technologies and Applications, Smart Innovation, Systems and Technologies (Sprigner) 38 417 - 426 2015

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

Stock indices play a significant role in asset management business. Price indices are popular in practical business. However, recent empirical analyses suggest that a smart beta, which is proposed as a new stock index, could achieve a positive excess return. With these arguments in mind, this study analyzes the effectiveness of smart beta through agent-based modeling. As a result of intensive experiments in the market, I made the following finding that effectiveness of smart beta could be influenced by the extent of a diversity of investors' behavior. These results are significant from both practical and academic viewpoints.

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Analyzing the validity of passive investment strategies under financial constraints

TAKAHASHI Hiroshi

Advances in Computational Social Science: The Fourth World Congress, Agent-Based Social Systems (Springer) 2014

Research paper (international conference proceedings), Single Work, Accepted

Analyzing the Efficacy of Passive Investment Strategies through Agent-Based Modelling: Overconfident Investors and Investors with Better Predictive Power

TAKAHASHI Hiroshi

Agent and Multi-Agent Systems: Technologies and Applications, Advances in Intelligent Systems and Computing (Springer) 296 203 - 212 2014

Single Work, ISSN 2194-5357

This study analyses the efficacy of a passive investment strategy - which is one of the most popular investment strategies in the asset management business - thorough agent-based modelling. As a result of intensive experimentation, the following conclusions were confirmed: (1) overconfident investors could achieve a positive excess return in the market where there are no passive investors. However, (2) even if overconfident investors have better predictive power, they couldn’t survive in a market where passive investors exist. These results suggest the effectiveness of a passive investment strategy. The results are of both academic interest and practical use.

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自社株買いと社債市場の関係について

TAKAHASHI Hiroshi

証券アナリストジャーナル (日本証券アナリスト協会) 51 ( 10 ) 83 - 95 2013

Research paper (scientific journal), Joint Work, Accepted, ISSN 0287-7929

Analyzing the influence of value at risk on financial markets through agent-based modeling

TAKAHASHI Hiroshi

International Journal of Knowledge-Based and Intelligent Engineering Systems 17 ( 4 ) 257 - 266 2013

Research paper (scientific journal), Single Work, Accepted, ISSN 1327-2314

This article describes the influence of risk management on financial markets. Institutional investors, such as pension funds, are legally required to follow a duty of care. Implementing adequate risk management is regarded as a central part of institutional investors' legal responsibilities and considered to be effective in terms of limiting investors' losses. The most prevalent risk management method is known as Value at Risk (VaR) and this is the focal point of my analysis. As a result of intensive agent-based modeling and experimentation, I have concluded that: (1) market prices could deviate from fundamental values when risk management criteria are too strict
(2) the larger the disparity of investors' estimations of stock prices becomes, the larger the tendency of deviation from fundamental values
(3) the same tendency can be observed under market conditions where heterogeneous investors trade. These results suggest that risk management which is required by law as a duty of care could contribute to market inefficiencies. If so, this is significant from both practical and academic points of view. Furthermore, I believe this paper proves the efficacy of agent-based modeling in analyzing the impact of certain regulations and laws on financial markets under realistic market conditions. © 2013-IOS Press and the authors.

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決算情報が社債に与える影響

TAKAHASHI Hiroshi

日本金融・証券計量・工学学会(JAFEE) ジャフィー・ジャーナル(to appear) 2013

Research paper (scientific journal), Joint Work, Accepted

投資家心理とマーケット

TAKAHASHI Hiroshi

日本IR協議会広報誌「IR-COM」 (日本IR協議会広報誌「IR-COM」) 3 2013

Research paper (other academic), Single Work

Analyzing the influence of dispersion of fundamentalists' valuations on the effectiveness of passive investment strategy under financial constraints

TAKAHASHI Hiroshi

International Journal of Intelligent Systems Technologies and Applications 12 ( 2 ) 111 - 127 2013

Research paper (scientific journal), Single Work, Accepted

Analyzing the Influence of Head-Line News on the Stock Market in Japan

Yasuo YAMASHITA, Hiroaki JOHTAKI, Hiroshi TAKAHASHI

International Journal of Intelligent Systems Technologies and Applications 12 328 - 342 2013

Research paper (scientific journal), Joint Work

Analysing the influence of headline news on the stock market in Japan

Yasou Yamashita, Hiroaki Joutaki, Hiroshi Takahashi

International Journal of Intelligent Systems Technologies and Applications 12 ( 3-4 ) 328 - 342 2013

ISSN 1740-8865

This research analysed the relationship between headlines in the news and the stock market in Japan through text mining technology. As a result of intensive analyses, we found a significant relationship between the stock index return changes and the negative (or positive) news classified by keywords. At the same time, we also found that the measure of constructing a keyword list has a significant impact on the performance of this classification. Copyright © 2013 Inderscience Enterprises Ltd.

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Analysing the influence of dispersion of fundamentalists' valuations on the effectiveness of passive investment strategy under financial constraints

Hiroshi Takahashi

International Journal of Intelligent Systems Technologies and Applications 12 ( 2 ) 111 - 127 2013

Accepted, ISSN 1740-8865

This paper analyses the influence of dispersion of fundamentalists' valuations on the effectiveness of passive investment strategy under financial constraints. As a result of intensive experiment, the following results were confirmed: (a) the degree of fundamental values' estimation accuracy affects the validity of passive investment strategy, (b) upper and lower constraints on tilting lead to the same results. These results are significant from both practical and academic view points. Copyright © 2013 Inderscience Enterprises Ltd.

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Analysis of Rights offering and Corporate Bonds

Jotaki Hiroaki, Yamashita Yasuo, Takahashi Hiroshi

Abstracts of Annual Conference of Japan Society for Management Information (THE JAPAN SOCIETY FOR MANAGEMENT INFORMATION (JASMIN)) 2013 262 - 265 2013

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環境規制と企業戦略に関する研究

大野文夫, 高橋大志

計測自動制御学会論文集 2012

Research paper (scientific journal), Single Work, Accepted

M&Aが債券市場に与える影響について

上瀧弘晃, 山下泰央, 高橋大志

日本金融・証券計量・工学学会(JAFEE) ジャフィー・ジャーナル 2012

Research paper (scientific journal), Joint Work, Accepted

An Analysis of the Influence of dispersion of valuations on Financial Markets through agent-based modeling

TAKAHASHI Hiroshi

International Journal of Information Technology & Decision Making (WORLD SCIENTIFIC PUBL CO PTE LTD) 11 ( 1 ) 143 - 166 2012

Research paper (scientific journal), Single Work, Accepted, ISSN 0219-6220

This research analyzes the influence of dispersion of valuations on financial markets, taking several aspects of real financial market into consideration (such as financial constraints, investment strategies and so on). As a result of intensive experiments in the market, we made the following findings: (1) Dispersion of fundamentalists' valuations has little effect on the market when financial constraints are absent; (2) When financial constraints - such as short-sale constraints - are introduced, certain situations arise in which deviations from fundamental values become larger, according to the level of the dispersion of valuations; (3) A passive investment strategy, as is consistent with traditional financial theory, is valid even when the introduction of financial constraints causes market prices to deviate significantly from fundamental values. These results contribute to clarifying the mechanism of price fluctuations in financial markets and are notable from both academic and practical view points.

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リレーションシップバンキングの有効性に関する研究

錦戸幸仁, 高橋大志

計測自動制御学会論文集 (計測自動制御学会) 2012

Research paper (scientific journal), Joint Work, Accepted

An analysis of the influence of fundamental indexing on financial markets through agent-based modeling: the fundamentalist and fundamental indexing

TAKAHASHI Hiroshi

Transactions on Computational Collective Intelligence (Springer) 7430 pp.102-120 - 120 2012

Research paper (scientific journal), Single Work, Accepted, ISSN 0302-9743

This research analyzes the influence of indices which are employed in the asset management business on financial markets through agent-based modeling. In this analysis, I focus on a fundamental index, which has been proposed as a new benchmark for investments in place of price indices, which are currently employed in practical business affairs. As a result of intensive experiments in the market, I made the following interesting findings: (1) fundamental indexing works as effectively as a price indexing in the market when market prices reflect fundamental values
(2) improvements in forecast accuracy of fundamentalists can contribute to a decrease in the number of investors that employ fundamental indexing
(3) forecast accuracy have the same impact on both fundamental indexing and price indexing
(4) fundamental indexing contributes to market efficiency. However, I also found drawbacks to fundamental indexing, such as the risk of destabilizing markets when too many investors employ passive investment strategies using the fundamental index. These results are significant from both practical and academic viewpoints. These analyses also demonstrate the effectiveness of agent-based techniques and inverse simulation techniques for financial research. © 2012 Springer-Verlag.

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ヘッドラインニュースが債券市場に与える影響に関する分析

山下泰央, 上瀧弘晃, 高橋大志

計測自動制御学会論文集 2012

Research paper (scientific journal), Joint Work, Accepted

Analyzing the Validity of Passive Investment Strategies Employing Fundamental Indices through Agent-Based Simulation

Hiroshi Takahashi, Satoru Takahashi, Takao Terano

AGENT AND MULTI-AGENT SYSTEMS: TECHNOLOGIES AND APPLICATIONS (SPRINGER-VERLAG BERLIN) 6682 180 - 189 2011

Accepted, ISSN 0302-9743

This research analyzes the influence of indices which are employed in the asset management business on financial markets through agent-based simulation. In this analysis, we focus on a fundamental index, which has been proposed as a new benchmark for investments in place of price indices, which are currently employed in practical business affairs. As a result of intensive experiments in the market, we made the following interesting findings: (1) fundamental indexing works as effectively as a price indexing in the market when market prices reflect fundamental values; (2) fundamental indexing contributes to market efficiency. However, we also found drawbacks to fundamental indexing, such as the risk of destabilizing markets when too many investors employ passive investment strategies using the fundamental index. These results are significant from both practical and academic viewpoints. These analyses also demonstrate the effectiveness of agent-based techniques for financial research.

Analyzing the influence of M&A News on Credit and Stock Markets(2011)

JOTAKI Hiroaki, YAMASHITA Yasuo, TAKAHASHI Hiroshi

Proceedings of Annual Conference of Japan Association for Social Informatics (The Society for Socio-Informatics) 26 141 - 144 2011

This article analyzes the impacts of mergers and acquisitions (M&A) on financial markets. As a result of intensive analysis, we have concluded that (1) dynamics of credit spread of companies which purchase another company are different depending on means for the purchase (cash or stock), (2) the differences become larger when financial markets are unstable, (3) problems of wealth transfer could arise under certain conditions, (4) differences in takeover premium could contribute to differences in dynamics of credit spread and stock prices. These results are significant from both practical and academic points of view.

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Analyzing the influence of fundamental indexing through inverse simulation analysis

Hiroshi Takahashi, Satoru Takahashi, Takao Terano

Proceedings of the SICE Annual Conference (Society of Instrument and Control Engineers (SICE)) 514 - 515 2011

An Analysis of the Influence of Fundamental Values' Estimation Accuracy on Financial Markets

TAKAHASHI Hiroshi

Journal of Probability and Statistics 2010 2010

Research paper (scientific journal), Single Work, Accepted, ISSN 1687-952X

This research analyzed the influence of the differences in the forecast accuracy of fundamental values on the financial market. As a result of intensive experiments in the market, we made the following interesting findings: (1) improvements in forecast accuracy of fundamentalists can contribute to an increase in the number of fundamentalists
(2) certain situations might occur, according to the level of forecast accuracy of fundamentalists, in which fundamentalists and passive management coexist, or in which fundamentalists die out of the market, and furthermore
(3) where a variety of investors exist in the market, improvements in the forecast accuracy could increase the number of fundamentalists more than the number of investors that employ passive investment strategy. These results contribute to clarifying the mechanism of price fluctuations in financial markets and also indicate one of the factors for the low ratio of passive investors in asset management business. Copyright © 2010 Hiroshi Takahashi.

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Clarification of the Price Fluctuation Mechanism in Financial Markets: Disparity in Forecast Accuracy among Investors and Asset Price Fluctuations

TAKAHASHI Hiroshi

International Journal of Computer Applications in Technology 38 ( 4 ) 250-258 - 258 2010

Research paper (scientific journal), Single Work, Accepted, ISSN 0952-8091

This research analysed the impact of the disparity in forecast accuracy among investors in the financial markets. This analysis has found the following interesting phenomena: 1 depending on market environments, investors with good forecast accuracy do not always survive in the market 2 where the performance measurement period is short, there may be a negative influence such as deviation from the fundamental value of trading prices. These results suggest the need for examining various factors when considering the impact of information technologies such as the text mining technique on financial markets, and are of great significance from both practical and academic viewpoints. Copyright © 2010 Inderscience Enterprises Ltd.

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Ｕ－Ｍａｒｔシステムを用いた先物取引き最良執行戦略の探索

陳章龍, 高橋大志, 山田隆志, 吉川厚, 寺野隆雄

人工知能学会全国大会論文集 (一般社団法人人工知能学会) 2010 ( 0 ) 3H2OS12b1 - 3H2OS12b1 2010

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Learning a Pension Investment in Consideration of Liability through Business Game

Yasuo Yamashita, Hiroshi Takahashi, Takao Terano

ADVANCES IN PRACTICAL MULTI-AGENT SYSTEMS (SPRINGER-VERLAG BERLIN) 325 ( 1 ) 233 - + 2010

Accepted, ISSN 1860-949X

While the importance of financial education is recognized in recent years, the technique for deepening an understanding to pension investment management is needed. In this research, we analyze learning method of the pension investment management in consideration of liability using the business game technique. As a result of analysis, interesting phenomena - the participant understood the learning method of the pension investment management in consideration of liability - were seen. This shows the effectiveness of the business game technique to learning the pension investment management.

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Agent-based modeling bridges theory of behavioral finance and financial markets

Hiroshi Takahashi, Takao Terano

Multi-Agent Applications with Evolutionary Computation and Biologically Inspired Technologies: Intelligent Techniques for Ubiquity and Optimization (IGI Global) 134 - 154 2010

Accepted

This chapter describes advances of agent-based models to financial market analyses based on our recent research. We have developed several agent-based models to analyze microscopic and macroscopic links between investor behaviors and price fluctuations in a financial market. The models are characterized by the methodology that analyzes the relations among micro-level decision making rules of the agents and macro-level social behaviors via computer simulations. In this chapter, we report the outline of recent results of our analysis. From the extensive analyses, we have found that (1) investors' overconfidence behaviors plays various roles in a financial market, (2) overconfident investors emerge in a bottom-up fashion in the market, (3) they contribute to the efficient trades in the market, which adequately reflects fundamental values, (4) the passive investment strategy is valid in a realistic efficient market, however, it could have bad influences such as instability of market and inadequate asset pricing deviations, and (5) under certain assumptions, the passive investment strategy and active investment strategy could coexist in a financial market. © 2011, IGI Global.

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ビジネスゲームによる投資と資本構成選択問題の学習

山下泰央, 高橋大志, 寺野隆雄

電子情報通信学会和文論文誌 (The Institute of Electronics, Information and Communication Engineers) J92D ( 11 ) pp.1911-1918 - 1918 2009.11

Research paper (scientific journal), Joint Work, Accepted, ISSN 1880-4535

近年,金融教育の重要性が高まる中,ファイナンス理論の理解を深めるための手法が必要とされている.本研究では,ビジネスゲーム手法を利用した投資プロジェクト選択と資本構成決定に関するファイナンス理論の学習を目的とした分析を実施した.分析の結果,参加者は投資プロジェクト選択法を理解し,株主資本価値を高める資本構成の決定法について理解が進むなど,興味深い現象が見られた.これらの結果は,ファイナンス理論の学習へのビジネスゲーム手法の有効性を示すものである.

Analysis of the effect of headline news in financial market through text categorisation

Satoru Takahashi, Hiroshi Takahashi, Kazuhiko Tsuda

International Journal of Computer Applications in Technology 35 ( 2-4 ) 204 - 209 2009.06

Accepted, ISSN 0952-8091

In this paper, we analyse the relation between stock-price returns and Headline News. Headline News is a very important source of information in asset management and is sent in large quantities every day. We study the effect of more than 13,000 Headline News sent from Jiji Press. We classify Headline News into three types using text categorisation and analyse the reaction of a stock-price return to each types of news. From our research, we figure out following issues: (1) we make the text categorisation system that has about 80% of classification accuracy, (2) this system can extract effective information to stock-price returns from Headline News and (3) such information is more effective to the small firms. Copyright © 2009 Inderscience Enterprises Ltd.

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エージェントシミュレーションが行動ファイナンス理論と実市場をつなぐ

高橋大志, 寺野隆雄

人工知能学会誌 (人工知能学会誌) 24 ( 3 ) pp.392-399 - 399 2009.05

Research paper (scientific journal), Joint Work, Accepted, ISSN 0912-8085

Analysis of the effect of Headline News in Financial Market through Text Categorization

Satoru TAKAHASHI, Hiroshi Takahashi, Kazuhiko TSUDA

Int. J. of Computer Applications in Technology 35 ( 2/3/4 ) pp. 204 – 209 2009

Research paper (scientific journal), Joint Work, Accepted

ビジネスゲーム手法による投資教育に関する研究：投資教育システムと応用事例

山下泰央, 高橋大志

統計数理研究所共同研究リポート 205 pp. 1-8 2009

Research paper (bulletin of university, research institution), Joint Work

Learning a Selection Problem of Investment Projects and Capital Structure through Business Game

Yasuo Yamashita, Hiroshi Takahashi, Takao Terano

NEW ADVANCES IN INTELLIGENT DECISION TECHNOLOGIES (SPRINGER) 199 ( 2 ) 41 - + 2009

Accepted, ISSN 1860-949X

While the importance of financial education increases in recent years, the technique for deepening an understanding of finance theory is needed. In this research, we analyize learning method of the finance theory about the investment project selection and capital structure determination using the business game technique. As a result of analysis, the participant understood the investment project selection method and interesting phenomena - an understanding progresses about the method of determining the capital structure which raises capital stock value - were seen. These results show the effectiveness of the business game technique to study of finance theory.

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Learning a selection problem of investment projects and capital structure through the use of a business game

Yamashita Yasuo, Takahashi Hiroshi, Terano Takao

Abstracts of Annual Conference of Japan Society for Management Information (THE JAPAN SOCIETY FOR MANAGEMENT INFORMATION (JASMIN)) 2009 23 - 23 2009

While the importance of financial education increases in recent years, the technique for deepening an understanding of finance theory is needed. In this research, we analyize learning method of the finance theory about the investment project selection and capital structure determination using the business game technique. As a result of analysis, the participant understood the investment project selection method and interesting phenomena – an understanding progresses about the method of determining the capital structure which raises capital stock value – were seen. These results show the effectiveness of the business game technique to study of finance theory.

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Analyzing the influence of Headline News on Credit Markets

jotaki hiroaki, takahashi satoru, takahashi hiroshi

Abstracts of Annual Conference of Japan Society for Management Information (THE JAPAN SOCIETY FOR MANAGEMENT INFORMATION (JASMIN)) 2009 43 - 43 2009

This paper analyses the influence text information gives to the credit market, focusing on Headline News, a source of information that has immediate influence to the money market, and also which is regarded as one of the important information when making investment decisions. Text automatic classification algorithm has been applied for analysis.After classifying the headline news into several types using this algorithm,verification were made whether there were any characteristic changes in the credit market.

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金融市場における投資家行動と価格変動に関する研究

TAKAHASHI Hiroshi

岡山大学経済学部教育研究等の状況の公表に係る記者発表 2008

Single Work

ビジネスゲームによるファイナンスへの接近：金融資産への投資の意思決定の学習

山下泰央, 高橋大志, 寺野隆雄

コンピュータソフトウェア 2008

Research paper (scientific journal), Joint Work, Accepted

証券投資におけるインデックス運用の有効性について

TAKAHASHI Hiroshi

岡山大学経済学会雑誌 (岡山大学経済学会) 40 ( 2 ) 1-21 - 167 2008

Research paper (bulletin of university, research institution), Single Work, ISSN 0386-3069

ビジネスゲーム手法の金融教育への応用

TAKAHASHI Hiroshi

岡山大学経済学会雑誌 (岡山大学経済学会) 40 ( 2 ) 61-72 - 218 2008

Research paper (bulletin of university, research institution), Single Work, ISSN 0386-3069

マルチエージェントシミュレーションによる金融資産価格変動メカニズムの解明

TAKAHASHI Hiroshi

ケンミレニアム研究支援中間審査会 2008

Joint Work

ヘッドラインニュースと株価の関連性の分析

高橋悟, 高橋大志

早稲田大学大学院ファイナンス研究科マーケット研究工房第16回研究会 2008

Joint Work

Approach to Learning Financial Theory through Business Gaming

Yasuo Yamashita, Hiroshi Takahashi, Takao Terano

2008 PROCEEDINGS OF SICE ANNUAL CONFERENCE, VOLS 1-7 (IEEE) 2573 - + 2008

Accepted

Recently financial education has become more important because financial technology is highly developing and financial market is growing in importance. In this research, we apply Business Game method to financial education. Especially we focused on learning of asset allocation. As a result of intensive experiments, we found that (1) players learned not to take excessive risk through business gaming and (2) they recognize the importance of risk control by our experiments. These findings indicate that our approach is valid for financial education.

The development of the financial learning tool through Business Game

Yasuo Yamashita, Hiroshi Takahashi, Takao Terano

KNOWLEDGE-BASED INTELLIGENT INFORMATION AND ENGINEERING SYSTEMS, PT 2, PROCEEDINGS (SPRINGER-VERLAG BERLIN) 5178 986 - + 2008

Accepted, ISSN 0302-9743

Recently financial education has become more important because financial technology is highly developing and financial market is growing in importance. In this research, we apply Business Game method to financial education. Especially we focused on learning of asset allocation. As a result of intensive experiments, we found that (1) players learned not to take excessive risk through business game and (2) they recognize the importance of risk control by our experiments. These findings indicate that our approach is valid for financial education.

Analyzing the influence of Investors' behavior on Financial Markets through Agent-Based Simulation

TAKAHASHI Hiroshi

Erich-Schneider-Seminar in Kiel University 2007.10

Single Work

市場の効率性と投資家行動-エージェントベースモデルによる分析

TAKAHASHI Hiroshi

金融・会計のビジネス数理 (筑波大学ビジネス科学研究科編) 2007

Research paper (scientific journal), Joint Work

金融市場におけるミクロマクロ構造の解明：ファンダメンタルインデックスと資産価格変動

高橋大志, 寺野隆雄

電子情報通信学会和文論文誌 J90-D ( 9 ) 2007

Research paper (scientific journal), Joint Work, Accepted

金融市場シミュレーションによる価格変動メカニズムの解明

TAKAHASHI Hiroshi

統計数理研究所共同研究リポート198 61-68 2007

Research paper (bulletin of university, research institution), Single Work

Analyzing the influence of overconfident investors on financial markets through agent-based model

Hiroshi Takahashi, Takao Terano

INTELLIGENT DATA ENGINEERING AND AUTOMATED LEARNING - IDEAL 2007 (SPRINGER-VERLAG BERLIN) 4881 1042 - 1052 2007

Accepted, ISSN 0302-9743

Analysis of the Effect of Analyst Reports in the Stock Market through Text Mining

TAKAHASHI SATORU, TAKAHASHI HIROSHI, TSUDA KAZUHIKO, TAKAHASHI MASAKAZU

Abstracts of Annual Conference of Japan Society for Management Information (THE JAPAN SOCIETY FOR MANAGEMENT INFORMATION (JASMIN)) 2007 56 - 56 2007

In finance task domain, text information such as financial statement or analyst's reports is one of the most important information. However, because of the difficulty of handling text information, few research and development have been conducted. In this paper, we examine whether it is possible to extract valuable knowledge for asset management by performing text mining on analyst's reports. From empirical study on the practical data, we find the effectiveness of analyst's reports; 1) we can find the independent analyst who has more valuable information by eliminating duplicated information, 2) to combine text information with numerical information make it possible to extract more useful Information.

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Analyzing the influences of passive investment strategies on financial markets via agent-based modeling

Hiroshi Takahashi, Satoru Takahashi, Takao Terano

Social Simulation: Technologies, Advances and New Discoveries (IGI Global) 224 - 238 2007

Accepted

This chapter develops an agent-based model to analyze microscopic and macroscopic links between investor behaviors and price fluctuations in a financial market. This analysis focusses on the effects of passive investment strategy in a financial market. From the extensive analyses, we have found that (1) passive investment strategy is valid in a realistic efficient market, however, it could have bad influences such as market instability and inadequate asset pricing deviations, and (2) under certain assumptions, passive investment strategy and active investment strategy could coexist in a financial market. © 2008, IGI Global.

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ファイナンス研究の最近の動向

TAKAHASHI Hiroshi

平成18年度岡山大学経済学部公開講座 2006

Single Work

金融市場におけるミクロマクロ構造の解明：自信過剰な投資家の出現

高橋大志，寺野隆雄

情報処理学会論文誌 47 ( 5 ) 1433-1442 2006

Research paper (scientific journal), Joint Work, Accepted

Analysis of the Validity of Textual Data in Stock Market through Text Mining

Satoru TAKAHASHI, Hiroshi TAKAHASHI

WSEAS Transactions on Business and Economics 3 ( 4 ) 310-315 - 315 2006

Research paper (scientific journal), Joint Work, Accepted

日本の株式市場におけるCSRと株価の関連性の分析

高橋大志, 加藤英明

統計数理研究所共同研究リポート 27-45 2006

Research paper (bulletin of university, research institution), Joint Work

テキストマイニングを利用したアナリストレポートと株価変動の分析

高橋悟, 高橋大志

平成１７年度統数研研究会「経済物理とその周辺」第２回研究会 2006

Research paper (conference, symposium, etc.), Joint Work

エージェントシミュレーションによる投資家行動と価格変動の関連性の分析

TAKAHASHI Hiroshi

平成１７年度統数研研究会「経済物理とその周辺」第２回研究会 2006

Research paper (conference, symposium, etc.), Joint Work

Exploring risks of financial markets through agent-based modeling

Hiroshi Takahashi, Takao Terano

2006 SICE-ICASE INTERNATIONAL JOINT CONFERENCE, VOLS 1-13 (IEEE) 5301 - + 2006

Accepted

To investigate the risks of financial markets is one of the critical issues in risk management This paper proposes an Agent-Based Model to clarify microscopic and macroscopic links between investor behaviors and price fluctuations in a financial market. The analysis presented in the paper focuses on the role that investors' overconfidence plays in the financial market. From the simulation study of the agent-based virtual market, we have found that (1) overconfident investors emerge in a bottom-up fashion in the market, and (2) these overconfident investors have the ability to contribute to the market in which the trading prices are coincide with theoretical fundamental values.

金融市場における価格変動メカニズムの解明

TAKAHASHI Hiroshi

Fun-AI'05 2005

Single Work

金融市場における投資家行動と価格変動に関する研究

TAKAHASHI Hiroshi

人工知能学会誌 20 ( 1 ) 110 2005

Research paper (scientific journal), Single Work

金融市場における投資家行動と価格変動に関する研究

TAKAHASHI Hiroshi

日本社会情報学会誌 17 ( 2 ) 58-59 2005

Research paper (scientific journal), Single Work

エージェントベースモデルの金融市場への応用

TAKAHASHI Hiroshi

名古屋市立大学経済学部水曜研究会 2004

Single Work

天気晴朗ならば株高し

加藤英明, 高橋大志

現代ファイナンス 15 35-50 2004

Research paper (scientific journal), Joint Work, Accepted

Analysis of Micro-Macro Structure of Financial Markets via Agent-Based Model: Risk Management and Dynamics of Asset Pricing

TAKAHASHI Hiroshi, Takao Terano

Electronics and Communications in Japan 87 ( 7 ) 38-48 2004

Research paper (scientific journal), Joint Work, Accepted

行動ファイナンスとエージェントベースモデル

TAKAHASHI Hiroshi

オペレーションズ・リサーチ 49 148-153 2004

Research paper (scientific journal), Single Work, Accepted

エージェントベースモデルによるパッシブ運用と資産価格変動の関連性の分析

TAKAHASHI Hiroshi

国民経済雑誌 (Kobe University) 190 ( 1 ) 33-51 - 51 2004

Research paper (scientific journal), Single Work, Accepted, ISSN 0387-3129

天候と株価

TAKAHASHI Hiroshi

証券経済学会年報 39 209-213 2004

Research paper (scientific journal), Single Work

金融市場における投資家行動と価格変動に関する研究

TAKAHASHI Hiroshi

筑波大学大学院ビジネス科学研究科　博士学位論文 2004

Research paper (scientific journal), Single Work

エージェントベースアプローチによる金融市場の分析と他分野への適用について

TAKAHASHI Hiroshi

第2回プロスペクト・セオリー勉強会 2004

Single Work

Analysis, of micro-macro structure of financial markets via agent-based model: Risk management and dynamics of asset pricing

H Takahashi, T Terano

ELECTRONICS AND COMMUNICATIONS IN JAPAN PART II-ELECTRONICS (SCRIPTA TECHNICA-JOHN WILEY & SONS) 87 ( 7 ) 38 - 48 2004

Accepted, ISSN 8756-663X

In this research the authors use an agent-based approach to analyze the effects risk management has on a market overall. First, they confirm the validity of the risk management methods reported in the field of financial engineering. Then they confirm that under particular conditions, such as when there are a large number of investors who take into consideration the tendencies of other investors or when excessive risk management is used, risk management can cause market prices to deviate from standard levels. (C) 2004 Wiley Periodicals, Inc.

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天候と株価変動の関連性について

高橋大志, 加藤英明

2003年統数研/総研大「経済学」研究会第2回会合発表． 2003

Joint Work

Agent-Based Approach to Investors’ Behavior and Asset Price Fluctuations in Financial Markets

TAKAHASHI Hiroshi,Takao Terano

Journal of Artificial Societies and Social Simulation (J A S S S) 6 ( 3 ) 2003

Research paper (scientific journal), Joint Work, Accepted, ISSN 1460-7425

In this paper, we use Agent-Based Approach to analyze how asset prices are affected by investors and investment systems that are based on Behavioral Finance. We build a virtual financial market that contains two types of investors: fundamentalists and non-fundamentalists. As a result of intensive experiments in the market, we find that (1) the traded price agrees with the fundamental value and the fundamentalists survive according to the principle of natural selection in the case that the market contains the same number of fundamentalists and trend predictors (investors who make trend prediction), (2) the traded price largely deviates from the fundamental value and the non-fundamentalists frequently obtain excess returns and therefore the fundamentalists are eliminated according to the principle of natural selection in the case that the proportion of trend predictors is extremely high or in the case that the investment ratio of the risk asset is restricted, and (3) the traded price largely deviates from the fundamental value in the case that the non-fundamentalists estimate the losses excessively, as pointed in Prospect Theory. These results indicate that the non-fundamentalists affect the traded prices and obtain excess returns also in real markets.

エージェントモデルによる金融市場のミクロマクロ構造の分析：リスクマネジメントと資産価格変動

高橋大志, 寺野隆雄

電子情報通信学会和文論文誌 J86-D-I ( 8 ) 618-628 2003

Research paper (scientific journal), Joint Work, Accepted

エージェントベースアプローチの金融市場への応用

TAKAHASHI Hiroshi

証券アナリストジャーナル 41 ( 2 ) 58-69 2003

Research paper (scientific journal), Single Work, Accepted

行動ファイナンス～投資家心理と株価(天候の例)～

TAKAHASHI Hiroshi

郵貯資金研究協会月報 166 9-10 2003

Research paper (other academic), Single Work

エージェントシミュレーションによるGARCHモデルとProspect理論の関連性の分析

高橋大志, 寺野隆雄

シミュレーション 21 ( 2 ) 55-64 - 142 2002.03

Research paper (scientific journal), Joint Work, Accepted

Non-Rational Agents Explain GARCH Model: Agent Simulation for Behavioral Finance

Hiroshi TAKAHASHI, Takao TERANO

Multi-Agent Modeling and Simulation of Economic Systems 2002

Research paper (scientific journal), Joint Work

Non-Rational Agents Explain GARCH Model: Agent Simulation for Behavioral Finance

Hiroshi TAKAHASHI, Takao TERANO

AAAI 2002 Workshop on Multi-Agent Modeling and Simulation of Economic Systems 2002

Joint Work, Accepted

エージェントモデルによる金融市場への接近

TAKAHASHI Hiroshi

日経Quick主催トレーディングテクノロジー研究会 2002

Single Work

投資家の意思決定と資産価格変動の分析

TAKAHASHI Hiroshi

構造計画研究所第１回MASコンペティション 2001

Single Work

投資家の意思決定と資産価格変動の分析

高橋大志，寺野隆雄

平成13年11月　総研大グループ研究　第9回研究会 2001

Joint Work

エージェントシミュレーションによるProspect理論とGARCHモデルの関連性の分析

高橋大志, 寺野隆雄

第10回マルチ・エージェントと協調計算ワークショップ（MACC2001) 2001

Joint Work, Accepted

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