Measuring Macro Economic Uncertainty from News Text by Supervised LDA

Abstract

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.