# Optimal Text-Based Time-Series Indices

arXiv: https://arxiv.org/abs/2405.10449 · HTML: https://mlsanity.com/paper/2405.10449/

## Key facts

- No citing papers in the map yet (data through 14 Oct 2026).
- Builds on 1 of its 34 references that are in the map.
- First posted on arXiv 16 May 2024.

## Builds on (most cited first, 1 of 1)

- [Realised Volatility Forecasting: Machine Learning via Financial Word Embedding](https://mlsanity.com/paper/2108.00480/) (2021)

## Abstract (arXiv)

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.