2020
DOI: 10.1109/access.2020.2992477
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Interest Rate Model With Investor Attitude and Text Mining

Abstract: This paper develops and estimates an interest rate model with investor attitude factors, which are extracted by a text mining method. First, we consider two contrastive attitudes (optimistic versus conservative) towards uncertainties about Brownian motions driving economy, develop an interest rate model, and obtain an empirical framework of the economy consisting of permanent and transitory factors. Second, we apply the framework to a bond market under extremely low interest rate environment in recent years, a… Show more

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Cited by 13 publications
(18 citation statements)
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References 37 publications
(55 reference statements)
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“…For example, regarding investment, an attitude can be a determinant that can affect a person's intention to invest (Khin, 2019;Dika & Kassim, 2021;Du & Shen, 2021) According to Nofi (2020), attitude can also be interpreted as a tendency obtained by individuals to do something which is the result of cognitive processes. Nakatani et al (2020) added that attitude is a good predictor of intention to do something. East (1993) used attitude as one of the factors to explain intention to invest and found it to be a significant predictor.…”
Section: Attitude and Investor Decisionmentioning
confidence: 99%
“…For example, regarding investment, an attitude can be a determinant that can affect a person's intention to invest (Khin, 2019;Dika & Kassim, 2021;Du & Shen, 2021) According to Nofi (2020), attitude can also be interpreted as a tendency obtained by individuals to do something which is the result of cognitive processes. Nakatani et al (2020) added that attitude is a good predictor of intention to do something. East (1993) used attitude as one of the factors to explain intention to invest and found it to be a significant predictor.…”
Section: Attitude and Investor Decisionmentioning
confidence: 99%
“…Since x 1,t and x 2,t are Gaussian processes under P , probability measures P λ1,λ2 and P λ * 1 ,λ * 2 are well defined by (2). (e.g.…”
Section: A Three-factor Specificationmentioning
confidence: 99%
“…(ii) The condition c 1 ≥ −(b 1 σ x,1 ) 2 /2 is for a zerocoupon bond price to be well-defined. (iii) The conditions c 1 < 0 and c 2 > 0 imply that the effects of spread factors x 2 1 and x 2 2 on the equilibrium interest rate r are the same directions as those of the investor(agent)'s conservative (λ 1 σ c,1 x 2 1,t < 0) and optimistic (λ 2 σ c,2 x 2 2,t > 0) attitudes, respectively. Specifically, the conditions c 1 < 0 and c 2 > 0 are achieved by setting µ 1 = µ 2 = 0 andλ 2 > σ c,2 in the expected return and volatility parameters ((32), (33)) of the consumption (endowment) process.…”
Section: Special Case: Transitory and Permanent Factorsmentioning
confidence: 99%
“…Also, people’s views on financial markets and economics are observed on social media. The revenue management model by Saito et al ( 2019 , 2016 ), the interest rate model with sentiments by Nishimura et al ( 2019 ) and Nakatani et al ( 2020 ), and the high-frequency trading equity market model by Saito and Takahashi ( 2019 ), are quantitative theoretical models that express behaviors of customers, investors, and market participants. Moreover, these models incorporate big data, such as booking data, financial data with text data, and order and execution data into modeling.…”
Section: Introductionmentioning
confidence: 99%