3 papers
cs.CL2024
Text-Based Correlation Matrix in Multi-Asset Allocation
Yasuhiro Nakayama, Tomochika Sawaki, Issei Furuya +1
The purpose of this study is to estimate the correlation structure between multiple assets using financial text analysis. In recent years, as the background of elevating inflation…
q-fin.PM2023
Causal Inference on Investment Constraints and Non-stationarity in Dynamic Portfolio Optimization through Reinforcement Learning
Yasuhiro Nakayama, Tomochika Sawaki
In this study, we have developed a dynamic asset allocation investment strategy using reinforcement learning techniques. To begin with, we have addressed the crucial issue of incor…
cs.CL2023
Analysis of the Fed's communication by using textual entailment model of Zero-Shot classification
Yasuhiro Nakayama, Tomochika Sawaki
In this study, we analyze documents published by central banks using text mining techniques and propose a method to evaluate the policy tone of central banks. Since the monetary po…