Dominican Republic

We present a method to automatically identify financially relevant news using stock price movements and news headlines as input. The method repurposes the attention weights of a neural network initially trained to predict stock prices to assign a relevance score to each headline, eliminating the need for manually labeled training data. Our experiments on the four most relevant US stock indices and 1.5M news headlines show that the method ranks relevant news highly, positively correlated with the accuracy of the initial stock price prediction task.

EMNLP 2021

From Stock Prediction to Financial Relevance: Repurposing Attention Weights to Assess News Relevance Without Manual Annotations

EMNLP 2021 is planned to be a hybrid event in Punta Cana, Dominican Republic, with both on-site and fully virtual participation possible. The experience for on-site participants would closely approximate a normal pre-COVID *ACL conference, with 5-6 thematically organized parallel sessions and live Q/A and interactive discussion immediately after the talks. Presentations by virtual participants will be equitably interleaved with those of on-site participants, projected on the auditorium screens as if on-site, and also followed immediately by live Q/A and interactive discussion at a time during reasonable waking hours for the virtual presenter. For all participants, on-site and virtual, who are unable to attend a session due to either time-zone issues or because they are participating in another session live, talk recordings and slides will be available online at a minimum after the live presentation (and in many cases before as well), and questions may be submitted in advance on session-specific discussion boards and answered live in session with the usual visual aids if desired.

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Please Note: The EMNLP registration system is not currently connected to the underline site as we are still in the process of building out EMNLP 2021. You will receive access instructions from underline the week of November 1st. 

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Registered attendees will receive access the week of November 1st.

EMNLP 2021 is planned to be a hybrid event in Punta Cana, Dominican Republic, with both on-site and fully virtual participation possible.

workshop paper

Although paths of user interests shift in knowledge graphs (KGs) can benefit conversational recommender systems (CRS), explicit reasoning on KGs has not been well considered in CRS, due to the complex of high-order and incomplete paths. We propose CRFR, which effectively does explicit multi-hop reasoning on KGs with a conversational context-based reinforcement learning model. Considering the incompleteness of KGs, instead of learning single complete reasoning path, CRFR flexibly learns multiple reasoning fragments which are likely contained in the complete paths of interests shift. A fragments-aware unified model is then designed to fuse the fragments information from item-oriented and concept-oriented KGs to enhance the CRS response with entities and words from the fragments. Extensive experiments demonstrate CRFR's SOTA performance on recommendation, conversation and conversation interpretability.

CRFR: Improving Conversational Recommender Systems via Flexible Fragments Reasoning on Knowledge Graphs

We release EDGAR-CORPUS, a novel corpus comprising annual reports from all the publicly traded companies in the US spanning a period of more than 25 years. To the best of our knowledge, EDGAR-CORPUS is the largest financial NLP corpus available to date. All the reports are downloaded, split into their corresponding items (sections), and provided in a clean, easy-to-use JSON format. We use EDGAR-CORPUS to train and release EDGAR-W2V, which are WORD2VEC embeddings for the financial domain. We employ these embeddings in a battery of financial NLP tasks and showcase their superiority over generic GloVe embeddings and other existing financial word embeddings. We also open-source EDGAR-CRAWLER, a toolkit that facilitates downloading and extracting future annual reports.

EDGAR-CORPUS: Billions of Tokens Make The World Go Round

Estimating the effects of monetary policy is one of the fundamental research questions in monetary economics. Many economies are facing ultra-low interest rate environments ever since the global financial crisis of 2007-9. The Covid pandemic recently reinforced this situation. In the US and Europe, interest rates are close to (or even below) zero, which limits the scope of traditional monetary policy measures for central banks. Dedicated central bank communication has hence become an increasingly important tool to steer and control market expectations these days. However, incorporating central bank language directly as features into economic models is still a very nascent research area. In particular, the content and effect of central bank speeches has been mostly neglected from monetary policy modelling so far.
With our paper, we aim to provide to the research community a novel, monetary policy shock series based on central bank speeches. We use a supervised topic modeling approach that can deal with text as well as numeric covariates to estimate a monetary policy signal dispersion index along three key economic dimensions: GDP, CPI and unemployment. This "dispersion shock" series is not only more frequent than series that classically focus on policy announcement dates, it also opens up the possibility of answering new questions that have up until now been difficult to analyse. For example, do markets form different expectations when facing a "cacophony of policy voices"? Our initial findings for the US point towards the fact that more dispersed or incongruent monetary policy stance communication in the build up to Federal Open Market Committee (FOMC) meetings might be associated with stronger subsequent market surprises at FOMC policy announcement time.

Extracting Economic Signals from Central Bank Speeches

Event extraction in commodity news is a less researched area as compared to generic eventextraction. However, accurate event extraction from commodity news is useful in abroad range of applications such as under-standing event chains and learning event-eventrelations, which can then be used for commodity price prediction. The events foundin commodity news exhibit characteristics different from generic events, hence posing a unique challenge in event extraction using existing methods. This paper proposes an effective use of Graph Convolutional Networks(GCN) with a pruned dependency parse tree, termed contextual sub-tree, for better event extraction in commodity news. The event extraction model is trained using feature embeddings from ComBERT, a BERT-based masked language model that was produced through domain-adaptive pre-training on a commoditynews corpus. Experimental results show the efficiency of the proposed solution, which out-performs existing methods with F1 scores ashigh as 0.90. Furthermore, our pre-trained language model outperforms GloVe by 23%, andBERT and RoBERTa by 7% in terms of argu-ment roles classification. For the goal of re-producibility, the code and trained models aremade publicly available.

Effective Use of Graph Convolution Network and Contextual Sub-Tree for Commodity News Event Extraction

Privacy is important considering the financial Domain as such data is highly confidential and sensitive. Natural Language Processing (NLP) techniques can be applied for text classification and entity detection purposes in financial domains such as customer feedback sentiment analysis, invoice entity detection, categorisation of financial documents by type etc. Due to the sensitive nature of such data, privacy measures need to be taken for handling and training large models with such data. In this work, we propose a contextualized transformer (BERT and RoBERTa) based text classification model integrated with privacy features such as Differential Privacy (DP) and Federated Learning (FL). We present how to privately train NLP models and desirable privacy-utility tradeoffs and evaluate them on the Financial Phrase Bank dataset.

Privacy enabled Financial Text Classification using Differential Privacy and Federated Learning

This study performs BERT-based analysis, which is a representative contextualized language model, on corporate disclosure data to predict impending bankruptcies. Prior literature on bankruptcy prediction mainly focuses on developing more sophisticated prediction methodologies with financial variables. However,
in our study, we focus on improving the quality of input dataset. Specifically, we employ BERT model to perform sentiment analysis on MD&A disclosures. We show that BERT outperforms dictionary-based predictions and Word2Vec-based predictions under time-discrete logistic hazard model, k-nearest neighbor (kNN-5), and linear kernel support vector machine (SVM). Further, instead of pretraining
the BERT model from scratch, we apply self-learning with confidence-based filtering 
to corporate disclosure data. We achieve the accuracy rate of 91.56% and demonstrate that the domain adaptation procedure brings a significant improvement in prediction accuracy.

Corporate Bankruptcy Prediction with BERT Model

The Global Banking Standards QA Dataset (GBS-QA)

With 56 million people actively trading and investing in cryptocurrency online and globally in 2020, there is an increasing need for automatic social media analysis tools to help understand trading discourse and behavior. In this work, we present a dual natural language modeling pipeline which leverages language and social network behaviors for the prediction of cryptocurrency day trading actions and their associated framing patterns. This pipeline first predicts if tweets can be used to guide day trading behavior, specifically if a cryptocurrency investor should buy, sell, or hold their cryptocurrencies in order to make a profit. Next, tweets are input to an unsupervised deep clustering approach to automatically detect trading framing patterns. Our contributions in clude the modeling pipeline for this novel task, a new Cryptocurrency Tweets Dataset com piled from influential accounts, and a Historical Price Dataset. Our experiments show that our approach achieves an 88.78% accuracy for day trading behavior prediction and reveals framing fluctuations prior to and during the COVID-19 pandemic that could be used to guide investment actions.

Cryptocurrency Day Trading and Framing Prediction in Microblog Discourse

With the recent rise in popularity of Transformer models in Natural Language Processing, research efforts have been dedicated to the development of domain-adapted versions of BERT-like architectures. In this study, we focus on FinBERT, a Transformer model trained on text from the financial domain. By comparing its performances with the original BERT on a wide variety of financial text processing tasks, we found continual pretraining from the original model to be the more beneficial option. Domain-specific pretraining from scratch, conversely, seems to be less effective

Is Domain Adaptation Worth Your Investment? Comparing BERT and FinBERT on Financial Tasks

In decision making in the economic field, an especially important requirement is to rapidly understand news to absorb ever-changing economic situations. Given that most economic news is written in English, the ability to read such information without waiting for a translation is particularly valuable in economics in contrast to other fields. In consideration of this issue, this research investigated the extent to which non-native English speakers are able to read economic news to make decisions accordingly -- an issue that has been rarely addressed in previous studies. Using an existing standard dataset as training data, we created a classifier that automatically evaluates the readability of text with high accuracy for English learners. Our assessment of the readability of an economic news corpus revealed that most news texts can be read by intermediate English learners. We also found that in some cases, readability varies considerably depending on the knowledge of certain words specific to the economic field.

From Stock Prediction to Financial Relevance: Repurposing Attention Weights to Assess News Relevance Without Manual Annotations

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CRFR: Improving Conversational Recommender Systems via Flexible Fragments Reasoning on Knowledge Graphs

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From Stock Prediction to Financial Relevance: Repurposing Attention Weights to Assess News Relevance Without Manual Annotations

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Next from EMNLP 2021

CRFR: Improving Conversational Recommender Systems via Flexible Fragments Reasoning on Knowledge Graphs

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"I don't know who she is": Discourse and Knowledge Driven Coreference Resolution

Stay up to date with the latest Underline news!

PRESENTATIONS

CONFERENCES

COMPANY

RESOURCES

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