Volatility Prediction using Financial Disclosures Sentiments with Word Embedding-based IR Models

Authors: 
Navid Rekabsaz
Mihai Lupu
Artem Baklanov
Alexander Duer
Type: 
Speech with proceedings
Proceedings: 
Annual Meeting of the Association for Computational Linguistics
Publisher: 
Proceedings of the 55th Annual Meeting of the Association for Computational Linguistics
Pages: 
1712 - 1721
Year: 
2017
ISBN: 
Abstract: 
Volatility prediction-an essential concept in financial markets-has recently been addressed using sentiment analysis methods. We investigate the sentiment of annual disclosures of companies in stock markets to forecast volatility. We specifically explore the use of recent Informa- tion Retrieval (IR) term weighting mod- els that are effectively extended by related terms using word embeddings. In parallel to textual information, factual market data have been widely used as the main-stream approach to forecast market risk. We therefore study different fusion methods to combine text and market data re- sources. Our word embedding-based approach significantly outperforms state-of-the-art methods. In addition, we investigate the characteristics of the reports of the companies in different financial sectors.
TU Focus: 
Computational Science and Engineering
Reference: 

N. Rekabsaz, M. Lupu, A. Baklanov, A. Duer, L. Andersson, A. Hanbury:
"Volatility Prediction using Financial Disclosures Sentiments with Word Embedding-based IR Models";
Vortrag: Association for Computational Linguistics, Vancouver, Canada; 30.07.2017 - 04.08.2017; in: "Annual Meeting of the Association for Computational Linguistics", Proceedings of the 55th Annual Meeting of the Association for Computational Linguistics, Volume 1 (2017), S. 1712 - 1721.

Zusätzliche Informationen

Last changed: 
18.12.2017 17:06:05
Accepted: 
Accepted
TU Id: 
264662
Invited: 
Department Focus: 
Business Informatics
Author List: 
N. Rekabsaz, M. Lupu, A. Baklanov, A. Duer, L. Andersson, A. Hanbury
Abstract German: