[2H1-OS-8d] OS-8

[2H1-OS-8d-02] Analysis and Explanation of Significant Events Using Asset Price Jumps and Graphs

〇Yoshiyuki Nakata¹, Takaaki Yoshino¹, Toshiaki Sugie¹, Kaira Sekiguchi², Naijia Liu², Yukio Ohsawa² (1. Nissay Asset Management Corporation, 2. Univ. of Tokyo)

Keywords:Graph, cluster analysis, anomaly detection

In asset management, asset allocation and selection are often based on the relationships of asset returns. Therefore, analyzing and interpreting news and events that influence these relationships is crucial. This study proposes a method to detect and analyze significant news and events that impact asset relationships. It is said that when a major news event occurs that has a significant impact on an asset, the asset price may jump, leading to discontinuities. Consequently, we propose a method to detect price jumps in assets and to create and analyze a graph by connecting assets that experience jumps in the same direction with edges, and we conducted validation of this method.