[2O1-J-13] AI application: dynamics in finance

Wed. Jun 5, 2019 9:00 AM - 10:40 AM Room O (Front-left room of 1F Exhibition hall)

Chair:Setsuya Kurahashi Reviewer:Hiroto Yoneno

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9:00 AM - 9:20 AM

[2O1-J-13-01] Extraction of Important Sentences in Financial Documents Based on Business Confidence Information Using LSTM with Self-Attention Mechanism

〇Shuhei Yamaoka¹, Seiichi Ozawa¹, Takehide Hirose², Masaaki Iizuka² (1. Kobe University, 2. Sumitomo Mitsui DS Asset Management Company, Limited)

9:20 AM - 9:40 AM

[2O1-J-13-02] Relationship between Liquidity and Costs of Arbitrage Trading for Stocks and ETF --- Investigation by Agent-Based Model ---

〇Takanobu Mizuta¹ (1. SPARX Asset Management Co., Ltd.)

9:40 AM - 10:00 AM

[2O1-J-13-03] Analysis of Inter-bank Network's Temporal Change Using Clustering Structure Change Detection

〇Yuta Niki¹, Kiyoshi Izumi¹, Hiroyasu Matsushima¹, Hiroki Sakaji¹, Takashi Shimada¹ (1. School of Engineering, The University of Tokyo)

10:00 AM - 10:20 AM

[2O1-J-13-04] Analysis of Limit Orders by High-Frequency Traders in Tokyo Stock Exchange

〇Masanori HIRANO¹, Kiyoshi IZUMI¹, Hiroyasu MATSUSHIMA¹, Hiroki SAKAJI¹, Takashi SHIMADA¹ (1. School of Engineering, The University of Tokyo)

10:20 AM - 10:40 AM

[2O1-J-13-05] Extraction of Future-oriented Sentences from Annual Securities Reports

〇Shunya Kodera¹, Yoshinori Tanaka¹, Fumihito Sato¹, Hiroaki Sakuma¹, Hiroki Sakaji², Kiyoshi Izumi² (1. NIKKO RESEARCH CENTER, INC., 2. Graduate School of Engineering, The University of Tokyo)

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