Wasserstein Index Generation Model: Automatic Generation of Time-series Index with Application to Economic Policy Uncertainty

08/12/2019

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by   Fangzhou Xie, et al.

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I propose a novel method, called the Wasserstein Index Generation model (WIG), to generate public sentiment index automatically. It can be performed off-the-shelf and is especially good at detecting sudden sentiment spikes. To test the model's effectiveness, an application to generate Economic Policy Uncertainty (EPU) index is showcased.