Analysis of the generating and collapsing process of financial bubbles using high frequency stock market data and web-mined text data

• Project/Area Number: 23330108
• Research Category: Grant-in-Aid for Scientific Research (B)
• Allocation Type: Single-year Grants
• Section: 一般
• Research Field: Public finance/Monetary economics
• Research Institution: Osaka City University
• Principal Investigator: TAKADA Teruko 大阪市立大学, 大学院経営学研究科, 准教授 (30347504)
• Project Period (FY): 2011-04-01 – 2016-03-31
• Project Status: Completed (Fiscal Year 2016)
• Budget Amount: ¥18,980,000 (Direct Cost: ¥14,600,000、Indirect Cost: ¥4,380,000); Fiscal Year 2015: ¥5,460,000 (Direct Cost: ¥4,200,000、Indirect Cost: ¥1,260,000); Fiscal Year 2014: ¥5,720,000 (Direct Cost: ¥4,400,000、Indirect Cost: ¥1,320,000); Fiscal Year 2013: ¥5,850,000 (Direct Cost: ¥4,500,000、Indirect Cost: ¥1,350,000); Fiscal Year 2012: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000); Fiscal Year 2011: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
• Keywords: 金融バブル / テキストマイニング / 高頻度データ / 投資家行動 / ネットワーク分析

Outline of Final Research Achievements

Aiming at finding new empirical facts useful for clarifying the mechanism of financial bubble generation and collapse, this study targets web-mined message board text data and very long high frequency stock market data. Applied methods to those data are efficient and fully data adaptive such as LDA topic model and nonparametric adaptive kernel density estimation based methods. This study revealed several new empirical facts including those useful for forecasting trend reversals and relationship between stock market status indicated by numerical stock market data and the content of investors’ attention captured by web-mined text data.

Research Products

• [Journal Article] 株式掲示板のトピック分析 (2017)
  • Author(s): 佐藤圭・高田輝子
  • Journal Title: OCU-GSB Working Paper Volume: 201702
• [Journal Article] Robust Forecasting of Long-term Smoothed Trend Reversals in Stock Market (2016)
  • Author(s): Teruko Takada and Takahiro Kitajima
  • Journal Title: OCU-GSB Working Paper Volume: 201608
• [Journal Article] 株式掲示板情報と株式市場の変動との 関連性についての研究 (2015)
  • Author(s): 佐藤圭・井上暁光・高田輝子
  • Journal Title: OCU-GSB Working Paper Volume: 2015202
• [Journal Article] 高頻度株式データのノンパラメトリック 確率密度推定による市場不安定性分析 (2015)
  • Author(s): 岩本菜々・高田輝子
  • Journal Title: OCU-GSB Working Paper Volume: 2015201
• [Journal Article] Investor sentiment extracted from internet stock message boards and IPO puzzles (2015)
  • Author(s): Yasutomo Tsukioka, Junya Yanagi, and Teruko Takada
  • Journal Title: OCU-GSB Working Paper Volume: No. 201506 Pages: 1-19
• [Journal Article] 新聞記事に出現する語彙を利用した株価変動におけるフェーズの同定手法 (2014)
  • Author(s): 畠山貴行、池田真土里、吉仲亮、山本章博、高田輝子
  • Journal Title: 人工知能学会第93回人工知能基本問題研究会(SIG-FPAI)予稿集 Volume: 1 Pages: 1-1
• [Journal Article] Mining local and tail dependence structures based on pointwise mutual information (2012)
  • Author(s): Teruko Takada
  • Journal Title: Data Mining and Knowledge Discovery Volume: 24(1) Issue: 1 Pages: 78-102
  • DOI: 10.1007/s10618-011-0220-3
  • Peer Reviewed
• [Presentation] ノンパラメトリック確率密度推計による NYSE Openbook 売手／買手別指値 注文パターンの非対称性分析 (2016)
  • Author(s): 北島孝博 (高田輝子との共同研究)
  • Organizer: 大阪大学 中之島ワークショップ
  • Place of Presentation: 大阪大学 中之島センター(大阪府、大阪市)
  • Year and Date: 2016-12-02
  • Invited
• [Presentation] Broken Corporate bond spread and investor risk appetite (2015)
  • Author(s): Teruko Takada (Jointwork with Yasutomo Tsukioka)
  • Organizer: The 9th CSDA International Conference on Computational and Financial Econometrics 2015
  • Place of Presentation: University of London, London, UK
  • Int'l Joint Research / Invited
• [Presentation] Nonparametric density estimation based methods for robust risk analysis of trend reversals (2015)
  • Author(s): Teruko Takada
  • Organizer: Waseda International Symposium
  • Place of Presentation: Waseda University, Tokyo
  • Invited
• [Presentation] Robust risk analysis of abrupt switches in financial markets (2015)
  • Author(s): Teruko Takada
  • Organizer: Quantitative finance seminar
  • Place of Presentation: University of Zurich, Zurich, Switzerland
  • Invited
• [Presentation] Robust early warning signals of abrupt switches in stock markets (2014)
  • Author(s): Teruko Takada
  • Organizer: 8th International Conference on Computational and Financial Econometrics 2014
  • Place of Presentation: University of Pisa, Pisa, Italy
  • Year and Date: 2014-12-07
  • Invited
• [Presentation] 大規模金融データ解析で群衆行動の解明と制御を目指す (2014)
  • Author(s): 高田 輝子
  • Organizer: JST シンポジウム情報学による未来社会のデザイン－人間力・社会力を強化する情報技術
  • Place of Presentation: 東京大学福武ホール、東京、日本
  • Year and Date: 2014-12-05
  • Invited
• [Presentation] Broken symmetry of financial bubbles: Evidence from NYSE Limit Order Book (2013)
  • Author(s): Teruko Takada (発表者) Takahiro Kitajima (共著者)
  • Organizer: 7th CSDA International Conference on Computational and Financial Econometrics (CFE2013)
  • Place of Presentation: Senate House, University of London
  • Invited
• [Presentation] Robust big data analysis of financial bubbles (2013)
  • Author(s): Teruko Takada
  • Organizer: Kyoto University Informatics Seminar
  • Place of Presentation: Kyoto University, Kyoto City
  • Invited
• [Presentation] 金融バブルの大規模データ解析 (2013)
  • Author(s): 高田輝子
  • Organizer: 2013年度人工知能学会全国大会
  • Place of Presentation: 富山市民プラザ（富山）
  • Invited
• [Presentation] ウェブ検索頻度による投資家不安度の分析
  • Author(s): 高田輝子、佐藤圭
  • Organizer: 2012年度統計関連学会連合大会
  • Place of Presentation: 北海道大学高等教育推進機構（札幌）
• [Presentation] 大規模金融データによる不安伝播の解明と暴走抑制のデザイン
  • Author(s): 杉山将、Nigel Collier、高田輝子
  • Organizer: 3領域合同シンポジウム：情報学による未来社会デザイン 第1回「大量データに基づく未来社会のデザイン」
  • Place of Presentation: 一橋大学 一橋講堂（東京）
• [Presentation] Multiple time scale volatility patterns before abrupt switching in financial markets
  • Author(s): T.Takada,A.Inoue
  • Organizer: Computational Statistics and Data Analysis International Conference on Computational and Financial Econometrics 2012
  • Place of Presentation: Conference Center “Ciudadde Oviedo”（Spain）
• [Presentation] 金融バブルのような相転移現象の予測法開発
  • Author(s): 高田輝子
  • Organizer: 競創ダイナミクスの統合的理解 第1回研究会
  • Place of Presentation: 名古屋大学 ES会議室（名古屋）
  • Invited