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Study on developing asset management with alternative data

Research Project

Project/Area Number 19K23234
Research Category

Grant-in-Aid for Research Activity Start-up

Allocation TypeMulti-year Fund
Review Section 0107:Economics, business administration, and related fields
Research InstitutionWaseda University

Principal Investigator

Goshima Keiichi  早稲田大学, 産業経営研究所, その他(招聘研究員) (10843956)

Project Period (FY) 2019-08-30 – 2022-03-31
Project Status Completed (Fiscal Year 2021)
Budget Amount *help
¥2,860,000 (Direct Cost: ¥2,200,000、Indirect Cost: ¥660,000)
Fiscal Year 2020: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2019: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Keywordsファイナンス / 資産運用 / オルタナティブ・データ / 機械学習 / 自然言語処理 / 予測 / 株式リターン / 気候変動リスク / 温室効果ガス / リスクプレミアム / テキストデータ / インフレ予測 / 有価証券報告書 / MD&A / アルゴリズム取引 / 実現ボラティリティ / 深層学習 / オルタナティブデータ
Outline of Research at the Start

本研究の目的は、投資判断におけるオルタナティブ・データの利用可能性を明らかにすることで、資産運用の高度化を図ることである。オルタナティブ・データとは、経済ニュースのテキストデータや販売時点情報管理データ、ウェブサイトへのアクセス情報、衛星画像等の従来投資判断に利用されてこなかった新しいタイプのデータの総称であり、金融業界では投資判断への利活用が試みられている。本研究では、オルタナティブ・データの種類と利用場面を体系化したうえで、実証分析を通じて金融資産価格の予測可能性の検証と金融資産のリスク計測への応用を進める。

Outline of Final Research Achievements

We examine the applications of alternative data in investment decision-making.
We found that alternative data, including newspaper articles data, text data of annual securities reports, access log data, GHG emissions data, and order submission data, help predict asset price returns and volatility, forecast business cycles and corporate revenues, and detect algorithmic trading.

Academic Significance and Societal Importance of the Research Achievements

金融業界ではオルタナティブ・データと呼ばれる新しいタイプの情報を投資判断に活用しようとする動きが広がっている。資産運用におけるこれらデータの有用性は定性的な議論や個別の事例報告に留まることが多く、学術的な根拠が明示されていないものも多い。本研究は、実証分析を通じて様々なオルタナティブ・データの応用可能性を示したものであり、わが国における資産運用の高度化に寄与するものである。

Report

(4 results)
  • 2021 Annual Research Report   Final Research Report ( PDF )
  • 2020 Research-status Report
  • 2019 Research-status Report
  • Research Products

    (14 results)

All 2021 2020 2019

All Journal Article (6 results) (of which Peer Reviewed: 6 results,  Open Access: 4 results) Presentation (8 results) (of which Int'l Joint Research: 5 results)

  • [Journal Article] 有価証券報告書のテキスト分析:経営者による将来見通しの開示と将来業績2021

    • Author(s)
      加藤大輔、五島圭一
    • Journal Title

      金融研究

      Volume: 40(3) Pages: 45-75

    • NAID

      40022653389

    • Related Report
      2021 Annual Research Report
    • Peer Reviewed / Open Access
  • [Journal Article] Controlling contents in data-to-document generation with human-designed topic labels2021

    • Author(s)
      Aoki Kasumi, Miyazawa Akira, Ishigaki Tatsuya, Aoki Tatsuya, Noji Hiroshi, Goshima Keiichi, Takamura Hiroya, Miyao Yusuke, Kobayashi Ichiro
    • Journal Title

      Computer Speech & Language

      Volume: 66 Pages: 101154-101154

    • DOI

      10.1016/j.csl.2020.101154

    • Related Report
      2020 Research-status Report
    • Peer Reviewed
  • [Journal Article] Forecasting Japanese inflation with a news-based leading indicator of economic activities2020

    • Author(s)
      Goshima Keiichi, Ishijima Hiroshi, Shintani Mototsugu, Yamamoto Hiroki
    • Journal Title

      Studies in Nonlinear Dynamics & Econometrics

      Volume: 0 Issue: 4 Pages: 0-0

    • DOI

      10.1515/snde-2019-0117

    • Related Report
      2020 Research-status Report
    • Peer Reviewed
  • [Journal Article] 時系列株価データからの市況コメントの自動生成2020

    • Author(s)
      村上聡一朗、渡邉亮彦、宮澤彬、五島圭一、柳瀬利彦、高村大也、宮尾祐介
    • Journal Title

      自然言語処理

      Volume: 27(2) Issue: 2 Pages: 299-328

    • DOI

      10.5715/jnlp.27.299

    • NAID

      130007904616

    • Related Report
      2020 Research-status Report
    • Peer Reviewed / Open Access
  • [Journal Article] Monetary Policy Announcements and Algorithmic News Trading in the Foreign Exchange Market2019

    • Author(s)
      Keiichi Goshima, Yusuke Kumano
    • Journal Title

      Monetary and Economic Studies

      Volume: 37 Pages: 71-91

    • Related Report
      2019 Research-status Report
    • Peer Reviewed / Open Access
  • [Journal Article] 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2019

    • Author(s)
      五島圭一、高橋大志、山田哲也
    • Journal Title

      金融研究

      Volume: 38(3) Pages: 1-41

    • NAID

      40021979430

    • Related Report
      2019 Research-status Report
    • Peer Reviewed / Open Access
  • [Presentation] 東京株式市場におけるカーボンプレミアム2021

    • Author(s)
      五島圭一、八木厚樹
    • Organizer
      日本ファイナンス学会第3回秋季研究大会
    • Related Report
      2021 Annual Research Report
  • [Presentation] Learning with Contrastive Examples for Data-to-Text Generation2020

    • Author(s)
      Yui Uehara, Tatsuya Ishigaki, Kasumi Aoki, Hiroshi Noji, Keiichi Goshima, Ichiro Kobayashi, Hiroya Takamura, Yusuke Miyao
    • Organizer
      The 28th International Conference on Computational Linguistics (COLING2020)
    • Related Report
      2020 Research-status Report
    • Int'l Joint Research
  • [Presentation] Trader Classication by Cluster Analysis: Interaction between HFTs and Other Traders2019

    • Author(s)
      宇野淳、五島圭一、戸辺玲子
    • Organizer
      日本ファイナンス学会第27回大会
    • Related Report
      2019 Research-status Report
  • [Presentation] Controlling Contents in Data-to-Document Generation with Human-Designed Topic Labels2019

    • Author(s)
      Kasumi Aoki, Akira Miyazawa, Tatsuya Ishigaki, Tatsuya Aoki, Hiroshi Noji, Keiichi Goshima, Ichiro Kobayashi, Hiroya Takamura, Yusuke Miyao
    • Organizer
      The 12th International Conference on Natural Language Generation
    • Related Report
      2019 Research-status Report
    • Int'l Joint Research
  • [Presentation] Asset Allocation with Aversion to Blackbox-ness of Machine Learning2019

    • Author(s)
      Yuji Sakurai, Keiichi Goshima
    • Organizer
      International Conference on Fintech & Financial Data Science
    • Related Report
      2019 Research-status Report
    • Int'l Joint Research
  • [Presentation] Forecasting Japanese inflation with a news-based leading indicator of economic activities2019

    • Author(s)
      新谷元嗣、五島圭一、石島博、山本弘樹
    • Organizer
      日本経済学会2019年度秋季大会
    • Related Report
      2019 Research-status Report
  • [Presentation] Trader Classication by Cluster Analysis: Interaction between HFTs and Other Traders2019

    • Author(s)
      Keiichi Goshima, Reiko Tobe, Jun Uno
    • Organizer
      The 28th European Financial Management Association Annual Meetings
    • Related Report
      2019 Research-status Report
    • Int'l Joint Research
  • [Presentation] Trader Classication by Cluster Analysis: Interaction between HFTs and Other Traders2019

    • Author(s)
      Keiichi Goshima, Reiko Tobe, Jun Uno
    • Organizer
      The 31st Asian Finance Association Annual Meeting
    • Related Report
      2019 Research-status Report
    • Int'l Joint Research

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Published: 2019-09-03   Modified: 2023-12-25  

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