JSAI Technical Report, Type 2 SIG

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Volume 2025, Issue FIN-035

The 35th SIG-FIN

Displaying 1-25 of 25 articles from this issue

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Analyzing the Impact of Contract Size Differences on Arbitrage Trading Using an Artificial Market

Yoshito NORITAKE, Isao YAGI, Takanobu MIZUTA

Article type: SIG paper
2025Volume 2025Issue FIN-035 Pages 01-08
Published: October 08, 2025
Released on J-STAGE: October 08, 2025

DOIhttps://doi.org/10.11517/jsaisigtwo.2025.FIN-035_01

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Analysis of the impact of arbitrage between markets withdifferent settlement periods on market liquidity using anartificial market

Akari FUKUYA, Takanobu MIZUTA, Isao YAGI

Article type: SIG paper
2025Volume 2025Issue FIN-035 Pages 09-16
Published: October 08, 2025
Released on J-STAGE: October 08, 2025

DOIhttps://doi.org/10.11517/jsaisigtwo.2025.FIN-035_09

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Performance investigation of circuit breakers using artificial markets

Ryuki HAYASE, Takanobu MIZUTA, Isao YAGI

Article type: SIG paper
2025Volume 2025Issue FIN-035 Pages 17-21
Published: October 08, 2025
Released on J-STAGE: October 08, 2025

DOIhttps://doi.org/10.11517/jsaisigtwo.2025.FIN-035_17

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Analysis of the Collective Fluctuations in U.S. Economic Indicators and the Relationships Among Industrial Sectors

Munehiro KITAURA, Yuichiro INAGAKI, Hiromasa MATSUURA, Yusuke KOSHIYAM ...

Article type: SIG paper
2025Volume 2025Issue FIN-035 Pages 22-33
Published: October 08, 2025
Released on J-STAGE: October 08, 2025

DOIhttps://doi.org/10.11517/jsaisigtwo.2025.FIN-035_22

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Independence of Cryptocurrencies and Portfolio Diversification Effects Revealed by Multi-Asset NetworkAnalysis

Yoshiyuki SUIMON

Article type: SIG paper
2025Volume 2025Issue FIN-035 Pages 34-41
Published: October 08, 2025
Released on J-STAGE: October 08, 2025

DOIhttps://doi.org/10.11517/jsaisigtwo.2025.FIN-035_34

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Why are financial prices unpredictable regardless of predictable buy-sell market order flow?

Yuki SATO, Kiyoshi KANAZAWA

Article type: SIG paper
2025Volume 2025Issue FIN-035 Pages 42-43
Published: October 08, 2025
Released on J-STAGE: October 08, 2025

DOIhttps://doi.org/10.11517/jsaisigtwo.2025.FIN-035_42

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Generalized LMF Model Incorporating Strategy Diversity and the Square-Root Law

Shunta FUJIWARA, Yuki SATO, Kiyoshi KANAZAWA

Article type: SIG paper
2025Volume 2025Issue FIN-035 Pages 44-45
Published: October 08, 2025
Released on J-STAGE: October 08, 2025

DOIhttps://doi.org/10.11517/jsaisigtwo.2025.FIN-035_44

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Feature Analysis of Financial Texts and Portfolio Evaluation

Kaito TAKANO

Article type: SIG paper
2025Volume 2025Issue FIN-035 Pages 46-53
Published: October 08, 2025
Released on J-STAGE: October 08, 2025

DOIhttps://doi.org/10.11517/jsaisigtwo.2025.FIN-035_46

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Construction and Analysis of Dividend Policy Data Using Securities Reports

Aozora TAKESHITA, Kaito TAKANO, Kei NISHINA, Hiroyuki SAKAI

Article type: SIG paper
2025Volume 2025Issue FIN-035 Pages 54-61
Published: October 08, 2025
Released on J-STAGE: October 08, 2025

DOIhttps://doi.org/10.11517/jsaisigtwo.2025.FIN-035_54

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Analysis and Out-of-sample Test of Earnings Prediction with LLMs

Yusuke SHIRAI, Yoshihiko ICHIKAWA, Kei NAKAGAWA

Article type: SIG paper
2025Volume 2025Issue FIN-035 Pages 62-67
Published: October 08, 2025
Released on J-STAGE: October 08, 2025

DOIhttps://doi.org/10.11517/jsaisigtwo.2025.FIN-035_62

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Predicting Cumulative Abnormal Returns in an Event Study Using Text Embeddings of Timely Disclosures

Hisataka ITO

Article type: SIG paper
2025Volume 2025Issue FIN-035 Pages 68-74
Published: October 08, 2025
Released on J-STAGE: October 08, 2025

DOIhttps://doi.org/10.11517/jsaisigtwo.2025.FIN-035_68

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An Efficient Method for Building a J?REIT Property Dataset Using an Ensemble of Large Language Models

Mayuri TANAKA, Nobushige DOI

Article type: SIG paper
2025Volume 2025Issue FIN-035 Pages 75-82
Published: October 08, 2025
Released on J-STAGE: October 08, 2025

DOIhttps://doi.org/10.11517/jsaisigtwo.2025.FIN-035_75

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Analysis of Corporate Default in Transaction Lending

Tsukasa KOBAYASHI, Ryoya YAMAMOTO, Yoshiaki NARUSUE, Hiroyuki MORIKAWA

Article type: SIG paper
2025Volume 2025Issue FIN-035 Pages 83-87
Published: October 08, 2025
Released on J-STAGE: October 08, 2025

DOIhttps://doi.org/10.11517/jsaisigtwo.2025.FIN-035_83

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Structural Change Detection in Stock Networks via Fiedler Vectors and Entropy Measures

Tomoya HOSHINO

Article type: SIG paper
2025Volume 2025Issue FIN-035 Pages 88-95
Published: October 08, 2025
Released on J-STAGE: October 08, 2025

DOIhttps://doi.org/10.11517/jsaisigtwo.2025.FIN-035_88

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Evaluation of Municipal Bond Spreads in Japan (ANon-Default Legislation Country)

Ryota ISHIHARA

Article type: SIG paper
2025Volume 2025Issue FIN-035 Pages 96-101
Published: October 08, 2025
Released on J-STAGE: October 08, 2025

DOIhttps://doi.org/10.11517/jsaisigtwo.2025.FIN-035_96

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Impact of Brand and Exchange Rate on Price Formation in Japanese Used Smartphone Market

Yoshihiko ICHIKAWA, Yuki HIRANO, Yuhei IMURA, Yusuke NAKAJO, Nao KUWAM ...

Article type: SIG paper
2025Volume 2025Issue FIN-035 Pages 102-107
Published: October 08, 2025
Released on J-STAGE: October 08, 2025

DOIhttps://doi.org/10.11517/jsaisigtwo.2025.FIN-035_102

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Subspace regularized principal component analysis using prior exposure information

Kei NAKAGAWA, Masahiro KATO, Mitsuyoshi IMAMURA

Article type: SIG paper
2025Volume 2025Issue FIN-035 Pages 108-116
Published: October 08, 2025
Released on J-STAGE: October 08, 2025

DOIhttps://doi.org/10.11517/jsaisigtwo.2025.FIN-035_108

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Statistical Formulation and Theoretical Guarantees for Audit Sampling Procedures Using Sequential Testing

Masahiro KATO, Kei NAKAGAWA

Article type: SIG paper
2025Volume 2025Issue FIN-035 Pages 117-124
Published: October 08, 2025
Released on J-STAGE: October 08, 2025

DOIhttps://doi.org/10.11517/jsaisigtwo.2025.FIN-035_117

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Trading Strategy through Ensemble Learning of Machine Learning Models for Stock Price Prediction with Different Training Window.

Seima NISHIMURA

Article type: SIG paper
2025Volume 2025Issue FIN-035 Pages 125-129
Published: October 08, 2025
Released on J-STAGE: October 08, 2025

DOIhttps://doi.org/10.11517/jsaisigtwo.2025.FIN-035_125

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Predicting Corporate Earnings Revisions with a Machine Learning Model Using Multimodal Data

Yusuke TASHIRO, Akito SUZUKI, Ryusei YAMAGUCHI, Kiseki KAMEDA, Tomoya ...

Article type: SIG paper
2025Volume 2025Issue FIN-035 Pages 130-134
Published: October 08, 2025
Released on J-STAGE: October 08, 2025

DOIhttps://doi.org/10.11517/jsaisigtwo.2025.FIN-035_130

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A Generative AI?Based Method for Quantifying Earnings-CallSurprise

Akihiro TSUJI

Article type: SIG paper
2025Volume 2025Issue FIN-035 Pages 135-141
Published: October 08, 2025
Released on J-STAGE: October 08, 2025

DOIhttps://doi.org/10.11517/jsaisigtwo.2025.FIN-035_135

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Market making by deep learning with continuous probabilitybdistribution of limit order allocation

Kenji KUBO, Kei NAKAGAWA

Article type: SIG paper
2025Volume 2025Issue FIN-035 Pages 142-148
Published: October 08, 2025
Released on J-STAGE: October 08, 2025

DOIhttps://doi.org/10.11517/jsaisigtwo.2025.FIN-035_142

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Performance Comparison of QAOA Mixers for Ternary Portfolio Optimization

Shintaro YAMAMURA, Satoshi WATANABE, Masaya KUNIMI, Kazuhiro SAITO, Te ...

Article type: SIG paper
2025Volume 2025Issue FIN-035 Pages 149-156
Published: October 08, 2025
Released on J-STAGE: October 08, 2025

DOIhttps://doi.org/10.11517/jsaisigtwo.2025.FIN-035_149

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LLM-PEAD.txt: Empirical study of surprise extraction using LLM and post earnings announcement drift in the Japanese stock market

Kento TANEMURA, Kenji KUBO, Kei NAKAGAWA

Article type: SIG paper
2025Volume 2025Issue FIN-035 Pages 157-163
Published: October 08, 2025
Released on J-STAGE: October 08, 2025

DOIhttps://doi.org/10.11517/jsaisigtwo.2025.FIN-035_157

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Classification and Systematization of Sustainability Descriptions in Japanese Security Reports Descriptions in Annual Securities Reports

Takeshi UMEHARA, Hideaki TAKEDA

Article type: SIG paper
2025Volume 2025Issue FIN-035 Pages 164-171
Published: October 08, 2025
Released on J-STAGE: October 08, 2025

DOIhttps://doi.org/10.11517/jsaisigtwo.2025.FIN-035_164

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