第49回研究会

開催日：

2019年12月5日 (木)　18:00-19:30

会場：

丸の内永楽ビルディング18階 首都大学東京 丸の内サテライトキャンパス

報告者：

Dr. Bryan Kelly (Professor of Finance at Yale School of Management, Head of Machine Learning at AQR Capital Management)

タイトル：

The Structure of Economic News

概要Abstract

We propose an approach to measuring the state of the economy via textual analysis of business news. From the full text content of 800,000 Wall Street Journal articles for 1984–2017, we estimate a topic model that summarizes business news as easily interpretable topical themes and quantifies the proportion of news attention allocated to each theme at each point in time. We then use our news attention estimates as inputs into statistical models of numerical economic time series. We demonstrate that these text-based inputs accurately track a wide range of economic activity measures and that they have incremental forecasting power for macroeconomic outcomes, above and beyond standard numerical predictors. Finally, we use our model to retrieve the news-based narratives that underly “shocks” in numerical economic data.

http://structureofnews.com/

講師ご略歴Profile for speakers

Bryan Kelly is Professor of Finance at the Yale School of Management, a Research Fellow at the National Bureau of Economic Research, Associate Director of SOM’s International Center for Finance, and is the head of machine learning at AQR Capital Management, LLC.
Professor Kelly’s primary research fields are asset pricing and financial econometrics. He is interested in issues related to financial machine learning; volatility, tail risk, and correlation modeling in financial markets; banking sector systemic risk; financial intermediation; and financial networks.
His papers in these areas have been published in the American Economic Review, the Quarterly Journal of Economics, the Journal of Finance, the Journal of Financial Economics, and the Review of Financial Studies, among others. He is co-editor of the Journal of Financial Econometrics and associate editor of the Journal of Finance and the Journal of Financial Economics.
Before joining Yale, Kelly was a tenured professor of finance at the University of Chicago Booth School of Business. He earned a bachelor’s degree in economics from the University of Chicago, a master’s degree in economics from University of California San Diego, and a PhD in finance from New York University’s Stern School of Business. Kelly worked in investment banking at Morgan Stanley prior to pursuing his PhD.

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