JSAI Technical Report, Type 2 SIG

Volume 2023, Issue FIN-031

The 31st SIG-FIN

Displaying 1-26 of 26 articles from this issue

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Proposal for Sustainable P2P Fare Trading and Multi-Agent Simulation Methods for the Physical Internet Era

Kazuhiro KOIKE, Atsuyoshi MUTA, Yuji TANAKA, Kenji TANAKA

Article type: SIG paper
2023 Volume 2023 Issue FIN-031 Pages 01-06
Published: October 10, 2023
Released on J-STAGE: October 12, 2023

DOIhttps://doi.org/10.11517/jsaisigtwo.2023.FIN-031_01

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A theory of the microscopic origin of the long-range correlation in market-order flow: exact solution to a generalized Lillo-Mike-Farmer model

Kiyoshi KANAZAWA, Yuki SATO

Article type: SIG paper
2023 Volume 2023 Issue FIN-031 Pages 07-08
Published: October 10, 2023
Released on J-STAGE: October 12, 2023

DOIhttps://doi.org/10.11517/jsaisigtwo.2023.FIN-031_07

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Comparing a price limit and a circuit breaker in stock exchanges by an agent-based model

Takanobu MIZUTA, Isao YAGI

Article type: SIG paper
2023 Volume 2023 Issue FIN-031 Pages 09-15
Published: October 10, 2023
Released on J-STAGE: October 12, 2023

DOIhttps://doi.org/10.11517/jsaisigtwo.2023.FIN-031_09

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How does the performance of algorithm traders change when they take into account order book imbalance?

Shuto ENDO, Takanobu MIZUTA, Isao YAGI

Article type: SIG paper
2023 Volume 2023 Issue FIN-031 Pages 16-21
Published: October 10, 2023
Released on J-STAGE: October 12, 2023

DOIhttps://doi.org/10.11517/jsaisigtwo.2023.FIN-031_16

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Verification of review of market structure by synthetic control method

Hiroyuki MARUYAMA

Article type: SIG paper
2023 Volume 2023 Issue FIN-031 Pages 22-23
Published: October 10, 2023
Released on J-STAGE: October 12, 2023

DOIhttps://doi.org/10.11517/jsaisigtwo.2023.FIN-031_22

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The Influence of Trading Mechanisms on Small-Scale Stock Markets : An Empirical Study in Artificial Markets and Shareholder Communities

Shuto TOKOEDA, Rina MOROOKA, Tatsuki MASUDA, Takahiro HOSHINO

Article type: SIG paper
2023 Volume 2023 Issue FIN-031 Pages 24-31
Published: October 10, 2023
Released on J-STAGE: October 12, 2023

DOIhttps://doi.org/10.11517/jsaisigtwo.2023.FIN-031_24

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Abstractive summarization of financial statements using T5

Taisei NAKA, Hiroyuki SAKAI, Kengo ENAMI

Article type: SIG paper
2023 Volume 2023 Issue FIN-031 Pages 32-35
Published: October 10, 2023
Released on J-STAGE: October 12, 2023

DOIhttps://doi.org/10.11517/jsaisigtwo.2023.FIN-031_32

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ESG Topic Analysis of News Articles Using ChatGPT

Jura KOSUGI, Seiichi OZAWA, Takehide HIROSE, Yoshihiro IKEDA, Noriyasu ...

Article type: SIG paper
2023 Volume 2023 Issue FIN-031 Pages 36-41
Published: October 10, 2023
Released on J-STAGE: October 12, 2023

DOIhttps://doi.org/10.11517/jsaisigtwo.2023.FIN-031_36

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Risk Clustering of Japanese Banks Based on Profitability Indicators from EDINET Annual Securities Reports

Cheng YUAN, Tohgoroh MATSUI

Article type: SIG paper
2023 Volume 2023 Issue FIN-031 Pages 42-49
Published: October 10, 2023
Released on J-STAGE: October 12, 2023

DOIhttps://doi.org/10.11517/jsaisigtwo.2023.FIN-031_42

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Automatic generation of a supply chain map using large language model

Kengo ENAMI, Hiroyuki SAKAI

Article type: SIG paper
2023 Volume 2023 Issue FIN-031 Pages 50-54
Published: October 10, 2023
Released on J-STAGE: October 12, 2023

DOIhttps://doi.org/10.11517/jsaisigtwo.2023.FIN-031_50

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Extraction SDGs-related sentences from Sustainability Reports using BERT and ChatGPT

Masaki SASHIDA, [in Japanese], [in Japanese]

Article type: SIG paper
2023 Volume 2023 Issue FIN-031 Pages 55-60
Published: October 10, 2023
Released on J-STAGE: October 12, 2023

DOIhttps://doi.org/10.11517/jsaisigtwo.2023.FIN-031_55

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Automatic generation of market comments in management reports of investment funds using ChatGPT

Kaito TAKANO, Kei NAKAGAWA, Yugo FUJIMOTO

Article type: SIG paper
2023 Volume 2023 Issue FIN-031 Pages 61-67
Published: October 10, 2023
Released on J-STAGE: October 12, 2023

DOIhttps://doi.org/10.11517/jsaisigtwo.2023.FIN-031_61

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Extraction of Opinions in Financial Results Briefing Text Data and Their Analysis

Yutaka KUROKI, Kei NAKAGAWA

Article type: SIG paper
2023 Volume 2023 Issue FIN-031 Pages 68-74
Published: October 10, 2023
Released on J-STAGE: October 12, 2023

DOIhttps://doi.org/10.11517/jsaisigtwo.2023.FIN-031_68

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Automatic generation of improvement suggestions concerning environmental activities in companies

Miyu KODAMA, Hiroyuki SAKAI, Kengo ENAMI, Kaito TAKANO, Kei NAKAGAWA

Article type: SIG paper
2023 Volume 2023 Issue FIN-031 Pages 75-80
Published: October 10, 2023
Released on J-STAGE: October 12, 2023

DOIhttps://doi.org/10.11517/jsaisigtwo.2023.FIN-031_75

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Can ChatGPT pass the JCPA exam?: Challenge for the short-answer method test on Auditing

Tatsuki MASUDA, Kei NAKAGAWA, Takahiro HOSHINO

Article type: SIG paper
2023 Volume 2023 Issue FIN-031 Pages 81-88
Published: October 10, 2023
Released on J-STAGE: October 12, 2023

DOIhttps://doi.org/10.11517/jsaisigtwo.2023.FIN-031_81

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Analysis of papers related to carbon pricing using BERT

Hisataka ITO

Article type: SIG paper
2023 Volume 2023 Issue FIN-031 Pages 89-93
Published: October 10, 2023
Released on J-STAGE: October 12, 2023

DOIhttps://doi.org/10.11517/jsaisigtwo.2023.FIN-031_89

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Generalized Trend Factor via Isotonic Regression: Application to cryptocurrency market

Kei NAKAGAWA, Kentaro MINAMI

Article type: SIG paper
2023 Volume 2023 Issue FIN-031 Pages 94-101
Published: October 10, 2023
Released on J-STAGE: October 12, 2023

DOIhttps://doi.org/10.11517/jsaisigtwo.2023.FIN-031_94

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Relationship between deep hedging and delta hedging: utilization of statistical arbitrage strategy

Hiroaki HORIKAWA, Kei Nakagawa,

Article type: SIG paper
2023 Volume 2023 Issue FIN-031 Pages 102-109
Published: October 10, 2023
Released on J-STAGE: October 12, 2023

DOIhttps://doi.org/10.11517/jsaisigtwo.2023.FIN-031_102

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Deep hedging for multiple options in the BTC Options Market Utilizing Deep Smoothing

Masaki FUJIWARA, Tomoki NAKAKOMI, Kaisei KAKO, Hiroaki HORIKAWA, Kei N ...

Article type: SIG paper
2023 Volume 2023 Issue FIN-031 Pages 110-117
Published: October 10, 2023
Released on J-STAGE: October 12, 2023

DOIhttps://doi.org/10.11517/jsaisigtwo.2023.FIN-031_110

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Decomposition of Valuation Multiple using Machine Learning

Enomoto YOSHIRO, Nakagawa KEI

Article type: SIG paper
2023 Volume 2023 Issue FIN-031 Pages 118-125
Published: October 10, 2023
Released on J-STAGE: October 12, 2023

DOIhttps://doi.org/10.11517/jsaisigtwo.2023.FIN-031_118

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Risk Factor Extraction Method with Interpretability and Density of Factor Loading

Shuhei NOMA

Article type: SIG paper
2023 Volume 2023 Issue FIN-031 Pages 126-133
Published: October 10, 2023
Released on J-STAGE: October 12, 2023

DOIhttps://doi.org/10.11517/jsaisigtwo.2023.FIN-031_126

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Dynamic Asset Allocation for multi-asset funds with Thompson sampling

Ryota ISHIHARA

Article type: SIG paper
2023 Volume 2023 Issue FIN-031 Pages 134-141
Published: October 10, 2023
Released on J-STAGE: October 12, 2023

DOIhttps://doi.org/10.11517/jsaisigtwo.2023.FIN-031_134

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Causal Inference on Investment Constraints and Non-stationarity in Dynamic Portfolio Optimization through Reinforcement Learning

Tomochika SAWAKI, Yasuhiro NAKAYAMA

Article type: SIG paper
2023 Volume 2023 Issue FIN-031 Pages 142-149
Published: October 10, 2023
Released on J-STAGE: October 12, 2023

DOIhttps://doi.org/10.11517/jsaisigtwo.2023.FIN-031_142

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Recommendation of M&A candidates by decision tree

Yuma OKAJIMA, Ziwei XU, Ryutaro ICHISE

Article type: SIG paper
2023 Volume 2023 Issue FIN-031 Pages 150-153
Published: October 10, 2023
Released on J-STAGE: October 12, 2023

DOIhttps://doi.org/10.11517/jsaisigtwo.2023.FIN-031_150

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An approach to predict the number of visitors per day at a large retail store using area weather information.

Hirou TANAKA, Tadanori NOMURA, Noboru NISHIYAMA

Article type: SIG paper
2023 Volume 2023 Issue FIN-031 Pages 154-155
Published: October 10, 2023
Released on J-STAGE: October 12, 2023

DOIhttps://doi.org/10.11517/jsaisigtwo.2023.FIN-031_154

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Testing for assortativity of risk indicators in the director's networks of Japanese firms.

Keisuke MORITA, Yutaka KUROKI

Article type: SIG paper
2023 Volume 2023 Issue FIN-031 Pages 156-162
Published: October 10, 2023
Released on J-STAGE: October 12, 2023

DOIhttps://doi.org/10.11517/jsaisigtwo.2023.FIN-031_156

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