NumHTML: Numeric-Oriented Hierarchical Transformer Model for Multi-task
Financial Forecasting
- URL: http://arxiv.org/abs/2201.01770v1
- Date: Wed, 5 Jan 2022 10:17:02 GMT
- Title: NumHTML: Numeric-Oriented Hierarchical Transformer Model for Multi-task
Financial Forecasting
- Authors: Linyi Yang, Jiazheng Li, Ruihai Dong, Yue Zhang, Barry Smyth
- Abstract summary: This paper describes a numeric-oriented hierarchical transformer model to predict stock returns and financial risk using multi-modal aligned earnings calls data.
We present the results of a comprehensive evaluation of Num HTML against several state-of-the-art baselines using a real-world publicly available dataset.
- Score: 17.691653056521904
- License: http://creativecommons.org/licenses/by-nc-nd/4.0/
- Abstract: Financial forecasting has been an important and active area of machine
learning research because of the challenges it presents and the potential
rewards that even minor improvements in prediction accuracy or forecasting may
entail. Traditionally, financial forecasting has heavily relied on quantitative
indicators and metrics derived from structured financial statements. Earnings
conference call data, including text and audio, is an important source of
unstructured data that has been used for various prediction tasks using deep
earning and related approaches. However, current deep learning-based methods
are limited in the way that they deal with numeric data; numbers are typically
treated as plain-text tokens without taking advantage of their underlying
numeric structure. This paper describes a numeric-oriented hierarchical
transformer model to predict stock returns, and financial risk using
multi-modal aligned earnings calls data by taking advantage of the different
categories of numbers (monetary, temporal, percentages etc.) and their
magnitude. We present the results of a comprehensive evaluation of NumHTML
against several state-of-the-art baselines using a real-world publicly
available dataset. The results indicate that NumHTML significantly outperforms
the current state-of-the-art across a variety of evaluation metrics and that it
has the potential to offer significant financial gains in a practical trading
context.
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