Learning Target-Specific Representations of Financial News Documents For Cumulative Abnormal Return Prediction

Junwen Duan, Yue Zhang, Xiao Ding, Ching-Yun Chang, Ting Liu


Abstract
Texts from the Internet serve as important data sources for financial market modeling. Early statistical approaches rely on manually defined features to capture lexical, sentiment and event information, which suffers from feature sparsity. Recent work has considered learning dense representations for news titles and abstracts. Compared to news titles, full documents can contain more potentially helpful information, but also noise compared to events and sentences, which has been less investigated in previous work. To fill this gap, we propose a novel target-specific abstract-guided news document representation model. The model uses a target-sensitive representation of the news abstract to weigh sentences in the news content, so as to select and combine the most informative sentences for market modeling. Results show that document representations can give better performance for estimating cumulative abnormal returns of companies when compared to titles and abstracts. Our model is especially effective when it used to combine information from multiple document sources compared to the sentence-level baselines.
Anthology ID:
C18-1239
Volume:
Proceedings of the 27th International Conference on Computational Linguistics
Month:
August
Year:
2018
Address:
Santa Fe, New Mexico, USA
Venue:
COLING
SIG:
Publisher:
Association for Computational Linguistics
Note:
Pages:
2823–2833
Language:
URL:
https://aclanthology.org/C18-1239
DOI:
Bibkey:
Cite (ACL):
Junwen Duan, Yue Zhang, Xiao Ding, Ching-Yun Chang, and Ting Liu. 2018. Learning Target-Specific Representations of Financial News Documents For Cumulative Abnormal Return Prediction. In Proceedings of the 27th International Conference on Computational Linguistics, pages 2823–2833, Santa Fe, New Mexico, USA. Association for Computational Linguistics.
Cite (Informal):
Learning Target-Specific Representations of Financial News Documents For Cumulative Abnormal Return Prediction (Duan et al., COLING 2018)
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PDF:
https://preview.aclanthology.org/ingestion-script-update/C18-1239.pdf
Code
 sudy/coling2018