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arXiv · 2405.10449

Optimal Text-Based Time-Series Indices

David Ardia·Keven Bluteau
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Abstract

We propose an approach to construct text-based time-series indices in an optimal way--typically, indices that maximize the contemporaneous relation or the predictive performance with respect to a target variable, such as inflation. We illustrate our methodology with a corpus of news articles from the Wall Street Journal by optimizing text-based indices focusing on tracking the VIX index and inflation expectations. Our results highlight the superior performance of our approach compared to existing indices.

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David Ardia, Keven Bluteau. 2024-05-16. Optimal Text-Based Time-Series Indices. https://arxiv.org/abs/2405.10449

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