利用月报和新闻文章对投资信托产品进行因子分析

2017 Twelfth International Conference on Digital Information Management (ICDIM) Pub Date : 2017-09-01 DOI:10.1109/ICDIM.2017.8244661

Nobuaki Onishi, Qiang Ma

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引用次数: 2

摘要

本文提出了一种基于状态空间模型的因子分析方法来帮助人们理解信任产品。首先，我们从月度报告和新闻文章中提取影响投资信托产品资产净值的宏观和微观因素。然后通过将提取的因素与日经同义词典(Nihon Keizai Shimbun)中定义的类别相关联来对其进行分类。然后，在NAV趋势检测和因素相关性分析的基础上，选择合适的因素，构建状态空间模型，分析宏观因素和微观因素对NAV的影响程度。实验结果验证了该方法的有效性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Factor analysis of investment trust products by using monthly reports and news articles

In this paper, we propose a method of factor analysis with the state space model to help people understand trust products. First, we extract the macro- and micro-factors that affect the net assets value (NAV) of investment trust products from monthly reports and news articles. The extracted factors are then classified by associating them with the categories defined in the Nikkei Thesaurus (Nihon Keizai Shimbun). After that, we select appropriate factors and then construct the state space model to analyze the degree of impact on the NAV of macro- and micro-factors based on the detection of trends in NAV and the correlation analysis of factors. We validated the proposed method based on experimental results.

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2017 Twelfth International Conference on Digital Information Management (ICDIM)

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