[4J3-J-13] AI application: text applications and discourse

[4J3-J-13-02] Measuring Macro Economic Uncertainty from News Text by Supervised LDA

〇Kyoto Yono¹, Kiyoshi Izumi¹, Hiroki Sakaji¹, Takashi Shimada¹, Hiroyasu Matsushima¹ (1. The University of Tokyo)

Keywords:text mining, topic model, Uncertainty Index

For nancial market participants, uncertainty of macro economic events have crucial impact when they make
decision to buy or sell nancial assets because macro economic event in uence the asset price. In this study, we aim
to build a model to measure macro economic uncertainty from news text. We proposed extended topic model which
using not only news text data but also numeric data as a supervised signal for each news articles. We constructed
four macro economic uncertainty indexes by our proposed model. Each indexes matches with historical macro
economic events and the correlation are higher with the volatility of market index related to the uncertainty index.