Optimal Text-Based Time-Series Indices
<|reference_start|>Optimal Text-Based Time-Series Indices: 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.<|reference_end|>
@article{ardia2024optimal,
    title={Optimal Text-Based Time-Series Indices},
    author={David Ardia and Keven Bluteau},
    journal={arXiv preprint arXiv:2405.10449},
    year={2024},
    archivePrefix={arXiv},
    eprint={2405.10449},
    primaryClass={econ.EM cs.AI q-fin.CP}
}