Detecting Causes of Stock Price Rise and Decline by Machine Reading Comprehension with BERT

Gakuto Tsutsumi, Takehito Utsuro

Abstract
In this paper, we focused on news reported when stock prices fluctuate significantly. The news reported when stock prices change is a very useful source of information on what factors cause stock prices to change. However, because it is manually produced, not all events that cause stock prices to change are necessarily reported. Thus, in order to provide investors with information on those causes of stock price changes, it is necessary to develop a system to collect information on events that could be closely related to the stock price changes of certain companies from the Internet. As the first step towards developing such a system, this paper takes an approach of employing a BERT-based machine reading comprehension model, which extracts causes of stock price rise and decline from news reports on stock price changes. In the evaluation, the approach of using the title of the article as the question of machine reading comprehension performs well. It is shown that the fine-tuned machine reading comprehension model successfully detects additional causes of stock price rise and decline other than those stated in the title of the article.
Anthology ID:
2022.fnp-1.4
Volume:
Proceedings of the 4th Financial Narrative Processing Workshop @LREC2022
Month:
June
Year:
2022
Address:
Marseille, France
Editors:
Mahmoud El-Haj, Paul Rayson, Nadhem Zmandar
Venue:
FNP
SIG:
Publisher:
European Language Resources Association
Note:
Pages:
27–35
Language:
URL:
https://aclanthology.org/2022.fnp-1.4
DOI:
Bibkey:
Cite (ACL):
Gakuto Tsutsumi and Takehito Utsuro. 2022. Detecting Causes of Stock Price Rise and Decline by Machine Reading Comprehension with BERT. In Proceedings of the 4th Financial Narrative Processing Workshop @LREC2022, pages 27–35, Marseille, France. European Language Resources Association.
Cite (Informal):
Detecting Causes of Stock Price Rise and Decline by Machine Reading Comprehension with BERT (Tsutsumi & Utsuro, FNP 2022)
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