Dataset Information

Constructing Equity Investment Strategies Using Analyst Reports and Regime Switching Models.

ABSTRACT: This study demonstrates whether analysts' sentiments toward individual stocks are useful for stock investment strategies. This is achieved by using natural language processing to create a polarity index from textual information in analyst reports. In this study, we performed time series forecasting for the created polarity index using deep learning, and clustered the forecasted values by volatility using a regime switching model. In addition, we constructed a portfolio from stock data and rebalanced it at each change point of the regime. Consequently, the investment strategy proposed in this study outperforms the benchmark portfolio in terms of returns. This suggests that the polarity index is useful for constructing stock investment strategies.

SUBMITTER: Taguchi R

PROVIDER: S-EPMC9157435 | biostudies-literature | 2022

REPOSITORIES: biostudies-literature

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Publications

Constructing Equity Investment Strategies Using Analyst Reports and Regime Switching Models.

Taguchi Rei R Watanabe Hikaru H Sakaji Hiroki H Izumi Kiyoshi K Hiramatsu Kenji K

Frontiers in artificial intelligence 20220518

This study demonstrates whether analysts' sentiments toward individual stocks are useful for stock investment strategies. This is achieved by using natural language processing to create a polarity index from textual information in analyst reports. In this study, we performed time series forecasting for the created polarity index using deep learning, and clustered the forecasted values by volatility using a regime switching model. In addition, we constructed a portfolio from stock data and rebala ...[more]

PMID: 35664507

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Project description:Dengue, a mosquito-borne infectious disease caused by the dengue viruses, is present in many parts of the tropical and subtropical regions of the world. All four serotypes of dengue viruses are endemic in Singapore, an equatorial city-state. Frequent outbreaks occur, sometimes leading to national epidemics. However, few studies have attempted to characterize breakpoints which precede large rises in dengue case counts. In this paper, Bayesian regime switching (BRS) models were employed to infer epidemic and endemic regimes of dengue transmissions, each containing regime specific autoregressive processes which drive the growth and decline of dengue cases, estimated using a custom built multi-move Gibbs sampling algorithm. Posterior predictive checks indicate that BRS replicates temporal trends in Dengue transmissions well and nowcast accuracy assessed using a post-hoc classification scheme showed that BRS classification accuracy is robust even under limited data with the AUC-ROC at 0.935. LASSO-based regression and bootstrapping was used to account for plausibly high dimensions of climatic factors affecting Dengue transmissions, which was then estimated using cross-validation to conduct statistical inference on long-run climatic effects on the estimated regimes. BRS estimates epidemic and endemic regimes of dengue in Singapore which are characterized by persistence across time, lasting an average of 20 weeks and 66 weeks respectively, with a low probability of transitioning away from their regimes. Climate analysis with LASSO indicates that long-run climatic effects up to 20 weeks ago do not differentiate epidemic and endemic regimes. Lastly, by fitting BRS to simulated disease data generated from a stochastic Susceptible-Infected-Recovered model, mechanistic links between infectivity and regimes classified using BRS were provided. The model proposed could be applied to other localities and diseases under minimal data requirements where transmission counts over time are collected.

Dataset Information

Constructing Equity Investment Strategies Using Analyst Reports and Regime Switching Models.

Publications

Constructing Equity Investment Strategies Using Analyst Reports and Regime Switching Models.

Similar Datasets

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