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Title: Discovering finance keywords via continuous-space language models
Authors: Tsai, Ming-Feng;Wang, Chuanju;Chien, Pochuan
Contributors: 資科系
Date: 2016-10
Issue Date: 2016-12-15 16:17:09 (UTC+8)
Abstract: The growing amount of public financial data makes it increasingly important to learn how to discover valuable information for financial decision making. This article proposes an approach to discovering financial keywords from a large number of financial reports. In particular, we apply the continuous bag-of-words (CBOW) model, a well-known continuous-space language model, to the textual information in 10-K financial reports to discover new finance keywords. In order to capture word meanings to better locate financial terms, we also present a novel technique to incorporate syntactic information into the CBOW model. Experimental results on four prediction tasks using the discovered keywords demonstrate that our approach is effective for discovering predictability keywords for post-event volatility, stock volatility, abnormal trading volume, and excess return predictions. We also analyze the discovered keywords that attest to the ability of the proposed method to capture both syntactic and contextual information between words. This shows the success of this method when applied to the field of finance. © 2016, Association for Computing Machinery.
Relation: ACM Transactions on Management Information Systems, Volume 7, Issue 3, October 2016, 文章編號 7
Data Type: article
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