Javen Qinfeng Shi
2022
UOA at the FinNLP-2022 ERAI Task: Leveraging the Class Label Description for Financial Opinion Mining
Jinan Zou
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Haiyao Cao
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Yanxi Liu
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Lingqiao Liu
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Ehsan Abbasnejad
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Javen Qinfeng Shi
Proceedings of the Fourth Workshop on Financial Technology and Natural Language Processing (FinNLP)
Evaluating the Rationales of Amateur Investors (ERAI) is a task about mining expert-like viewpoints from social media. This paper summarizes our solutions to the ERAI shared task, which is co-located with the FinNLP workshop at EMNLP 2022. There are 2 sub-tasks in ERAI. Sub-task 1 is a pair-wised comparison task, where we propose a BERT-based pre-trained model projecting opinion pairs in a common space for classification. Sub-task 2 is an unsupervised learning task ranking the opinions’ maximal potential profit (MPP) and maximal loss (ML), where our model leverages the regression method and multi-layer perceptron to rank the MPP and ML values. The proposed approaches achieve competitive accuracy of 54.02% on ML Accuracy and 51.72% on MPP Accuracy for pairwise tasks, also 12.35% and -9.39% regression unsupervised ranking task for MPP and ML.
Astock: A New Dataset and Automated Stock Trading based on Stock-specific News Analyzing Model
Jinan Zou
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Haiyao Cao
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Lingqiao Liu
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Yuhao Lin
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Ehsan Abbasnejad
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Javen Qinfeng Shi
Proceedings of the Fourth Workshop on Financial Technology and Natural Language Processing (FinNLP)
Natural Language Processing (NLP) demonstrates a great potential to support financial decision-making by analyzing the text from social media or news outlets. In this work, we build a platform to study the NLP-aided stock auto-trading algorithms systematically. In contrast to the previous work, our platform is characterized by three features: (1) We provide financial news for each specific stock. (2) We provide various stock factors for each stock. (3) We evaluate performance from more financial-relevant metrics. Such a design allows us to develop and evaluate NLP-aided stock auto-trading algorithms in a more realistic setting. In addition to designing an evaluation platform and dataset collection, we also made a technical contribution by proposing a system to automatically learn a good feature representation from various input information. The key to our algorithm is a method called semantic role labeling Pooling (SRLP), which leverages Semantic Role Labeling (SRL) to create a compact representation of each news paragraph. Based on SRLP, we further incorporate other stock factors to make the final prediction. In addition, we propose a self-supervised learning strategy based on SRLP to enhance the out-of-distribution generalization performance of our system. Through our experimental study, we show that the proposed method achieves better performance and outperforms all the baselines’ annualized rate of return as well as the maximum drawdown of the CSI300 index and XIN9 index on real trading. Our Astock dataset and code are available at https://github.com/JinanZou/Astock.
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Co-authors
- Jinan Zou 2
- Haiyao Cao 2
- Lingqiao Liu 2
- Ehsan Abbasnejad 2
- Yanxi Liu 1
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