Presentation 2021-02-12
Analysis of the impact of COVID-19 on financial markets by applying entropy to alternative data and financial data
Yosuke Nishikawa, Teruaki Hayashi, Takaaki Yoshino, Toshiaki Sugie, Kota Takano, Kakeru Itou, Yoshiyuki Nakata, Yukio Ohsawa,
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Abstract(in Japanese) (See Japanese page)
Abstract(in English) It is important for investors to use alternative data to analyze financial markets to diversify their analysis. In this study, we used Google trends of words related to the event as alternative data to analyze the impact of people's interest in the coronavirus and the Olympics on the market. The results show that there is a co-occurrence between Google trends of words related to coronavirus and stock price data related to coronavirus. In addition, by applying Graph-Based Entropy to the graph of alternative data and financial data, we were able to detect the point in time when the market was significantly affected by COVID-19.
Keyword(in Japanese) (See Japanese page)
Keyword(in English) Graph-Based Entropy / Alternative data / Market analysis
Paper # AI2020-25
Date of Issue 2021-02-05 (AI)

Conference Information
Committee AI
Conference Date 2021/2/12(1days)
Place (in Japanese) (See Japanese page)
Place (in English) Online
Topics (in Japanese) (See Japanese page)
Topics (in English)
Chair Naoki Fukuta(Shizuoka Univ.)
Vice Chair Yuichi Sei(Univ. of Electro-Comm.) / Yuko Sakurai(AIST)
Secretary Yuichi Sei(Nagoya Inst. of Tech.) / Yuko Sakurai(Tokyo Univ. of Agriculture and Technology)
Assistant

Paper Information
Registration To Technical Committee on Artificial Intelligence and Knowledge-Based Processing
Language JPN
Title (in Japanese) (See Japanese page)
Sub Title (in Japanese) (See Japanese page)
Title (in English) Analysis of the impact of COVID-19 on financial markets by applying entropy to alternative data and financial data
Sub Title (in English)
Keyword(1) Graph-Based Entropy
Keyword(2) Alternative data
Keyword(3) Market analysis
1st Author's Name Yosuke Nishikawa
1st Author's Affiliation the University of Tokyo(UT)
2nd Author's Name Teruaki Hayashi
2nd Author's Affiliation the University of Tokyo(UT)
3rd Author's Name Takaaki Yoshino
3rd Author's Affiliation Nissay Asset Management Corp.(NAM)
4th Author's Name Toshiaki Sugie
4th Author's Affiliation Nissay Asset Management Corp.(NAM)
5th Author's Name Kota Takano
5th Author's Affiliation Nissay Asset Management Corp.(NAM)
6th Author's Name Kakeru Itou
6th Author's Affiliation Nissay Asset Management Corp.(NAM)
7th Author's Name Yoshiyuki Nakata
7th Author's Affiliation Nissay Asset Management Corp.(NAM)
8th Author's Name Yukio Ohsawa
8th Author's Affiliation the University of Tokyo(UT)
Date 2021-02-12
Paper # AI2020-25
Volume (vol) vol.120
Number (no) AI-362
Page pp.pp.18-23(AI),
#Pages 6
Date of Issue 2021-02-05 (AI)