United Arab Emirates

Using the pre-trained language models to understand source codes has attracted increasing attention from financial institutions owing to the great potential to uncover financial risks. However, there are several challenges in applying these language models to solve programming language related problems directly. For instance, the shift of domain knowledge between natural language (NL) and programming language (PL) requires understanding the semantic and syntactic information from the data from different perspectives. To this end, we propose the AstBERT model, a pre-trained PL model aiming to better understand the financial codes using the abstract syntax tree (AST). Specifically, we collect a sheer number of source codes (both Java and Python) from the Alipay code repository and incorporate both syntactic and semantic code knowledge into our model through the help of code parsers, in which AST information of the source codes can be interpreted and integrated. We evaluate the performance of the proposed model on three tasks, including code question answering, code clone detection and code refinement. Experiment results show that our AstBERT achieves promising performance on three different downstream tasks.

EMNLP 2022

AstBERT: Enabling Language Model for Financial Code Understanding with Abstract Syntax Trees

language understanding

abstract syntax tree

language model

workshop paper

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EMNLP 2022 will take place in Abu Dhabi from December 7th to December 11th, 2022. And it will be held in hybrid mode, both online and offline.

Automatic generating financial report from a set of news is important but challenging. The financial reports is composed of key points of the news and corresponding inferring and reasoning from specialists in financial domain with professional knowledge. The challenges lie in the effective learning of the extra knowledge that is not well presented in the news, and the misalignment between topic of input news and output knowledge in target reports. In this work, we introduce a disentangled variational topic inference approach to learn two latent variables for news and report, respectively. We use a publicly available dataset to evaluate the proposed approach. The results demonstrate its effectiveness of enhancing the language informativeness and the topic accuracy of the generated financial reports.

Disentangled Variational Topic Inference for Topic-Accurate Financial Report Generation

Text embedding is an essential component to build efficient natural language applications based on text similarities such as search engines and chatbots. Certain industries like finance and healthcare demand strict privacy-preserving conditions that user's data should not be exposed to any potential malicious users even including service providers. From a privacy standpoint, text embeddings seem impossible to be interpreted but there is still a privacy risk that they can be recovered to original texts through inversion attacks. To satisfy such privacy requirements, in this paper, we study a Homomorphic Encryption (HE) based text similarity inference. To validate our method, we perform extensive experiments on two vital text similarity tasks. Through text embedding inversion tests, we prove that the benchmark datasets are vulnerable to inversion attacks and another privacy preserving approach, dχ-privacy, a relaxed version of Local Differential Privacy method fails to prevent them. We show that our approach preserves the performance of models compared to that the baseline has degradation up to 10% of scores for the minimum security.

Toward Privacy-preserving Text Embedding Similarity with Homomorphic Encryption

Stock sentiment has strong correlations with the stock market but traditional sentiment analysis task classifies sentiment according to having feelings and emotions of good or bad. This definition of sentiment is not an accurate indicator of public opinion about specific stocks. To bridge this gap, we introduce a new task of stock sentiment analysis and present a new dataset for this task named TweetFinSent. In TweetFinSent, tweets are annotated based on if one gained or expected to gain positive or negative return from a stock. Experiments on TweetFinSent with several sentiment analysis models from lexicon-based to transformer-based have been conducted. Experimental results show that TweetFinSent dataset constitutes a challenging problem and there is ample room for improvement on the stock sentiment analysis task. TweetFinSent is available at \url{https://github.com/jpmcair/tweetfinsent}.

TweetFinSent: A Dataset of Stock Sentiments on Twitter

Accurate prediction of the stock price volatility, the rate at which the price of a stock increases or decreases over a particular period, is an important problem in finance. Inaccurate prediction of stock price volatility might lead to investment risk and financial loss, while accurate prediction might generate significant returns for investors. Several studies investigated stock price volatility prediction in a regression task by using the transcripts of earning calls (quarterly conference calls held by public companies) with Natural Language Processing (NLP) techniques. Existing studies use the entire transcript and this degrades the performance due to noise caused by irrelevant information that might not have a significant impact on stock price volatility. In order to overcome these limitations, by considering stock price volatility prediction as a classification task, we explore several denoising approaches, ranging from general-purpose approaches to techniques specific to finance to remove the noise, and leverage AutoML systems that enable auto-exploration of a wide variety of models. Our preliminary findings indicate that domain-specific denoising approaches provide better results than general-purpose approaches, moreover AutoML systems provide promising results.

Stock Price Volatility Prediction: A Case Study with AutoML

Digital transformation reinvents companies, their vision and strategy, organizational structure, processes, capabilities, and culture, and enables the development of new or enhanced products and services delivered to customers more efficiently. Organizations, by formalizing their digital strategy attempt to plan for their digital transformations and accelerate their company growth. Understanding how successful a company is in its digital transformation starts with accurate measurement of its digital maturity levels. However, existing approaches to measuring organizations' digital strategy have low accuracy levels and this leads to inconsistent results, and also does not provide resources (data) for future research to improve. In order to measure the digital strategy maturity of companies, we leverage the state-of-the-art NLP models on unstructured data (earning call transcripts), and reach the state-of-the-art levels (94\%) for this task. We release 3.691 earning call transcripts and also annotated data set, labeled particularly for the digital strategy maturity by linguists. Our work provides an empirical baseline for research in industry and management science.

DigiCall: A Benchmark for Measuring the Maturity of Digital Strategy through Company Earning Calls

With the recent surge of NLP technologies in the financial domain, banks and other financial entities have adopted virtual agents (VA) to assist customers. A challenging problem for VAs in this domain is determining a user's reason or intent for contacting the VA, especially when the intent was unseen or open during the VA's training. One method for handling open intents is adaptive decision boundary (ADB) post-processing, which learns tight decision boundaries from intent representations to separate known and open intents. We propose incorporating two methods for supervised pre-training of intent representations: prefix tuning and fine-tuning just the last layer of a large language model (LLM). With this proposal, our accuracy is 1.63% - 2.07% higher than the prior state-of-the-art ADB method for open intent classification on the banking77 benchmark amongst others. Notably, we only supplement the original ADB model with 0.1% additional trainable parameters. Ablation studies also determine that our method yields better results than full fine-tuning the entire model. We hypothesize that our findings could stimulate a new optimal method of downstream tuning that combines parameter efficient tuning modules with fine-tuning a subset of the base model's layers.

Learning Better Intent Representations for Financial Open Intent Classification

The invention of transformer-based models such as BERT, GPT, and RoBERTa has enabled researchers and financial companies to finetune these powerful models and use them in different downstream tasks to achieve state-of-the-art performance. Recently, a lightweight alternative (approximately 0.1\% - 3\% of the original model parameters) to fine-tuning, known as prefix tuning has been introduced. This method freezes the model parameters and only updates the prefix to achieve performance comparable to full fine-tuning. Prefix tuning enables researchers and financial practitioners to achieve similar results with much fewer parameters. In this paper, we explore the robustness of prefix tuning when facing noisy data. Our experiments demonstrate that fine-tuning is more robust to noise than prefix tuning---the latter method faces a significant decrease in performance on most corrupted data sets with increasing noise levels. Furthermore, prefix tuning has high variances on the F1 scores compared to fine-tuning in many corruption methods. We strongly advocate that caution should be carefully taken when applying the state-of-the-art prefix tuning method to noisy data.

Exploring Robustness of Prefix Tuning in Noisy Data: A Case Study in Financial Sentiment Analysis

Investment management professionals (IMPs) often make decisions after manual analysis of text transcripts of central banks' conferences or companies' earning calls. Their current software tools, while interactive, largely leave users unassisted in using these transcripts.  A key component to designing speech and NLP techniques for this community is to qualitatively characterize their perceptions of AI as well as their legitimate needs so as to (1) better apply existing NLP methods, (2) direct future research and (3) correct IMPs' perceptions of what AI is capable of.  This paper presents such a study, through a contextual inquiry with eleven IMPs, uncovering their information practices when using such transcripts. We then propose a taxonomy of user requirements and usability criteria to support IMP decision making, and validate the taxonomy through participatory design workshops with four IMPs. Our investigation suggests that: (1) IMPs view visualization methods and natural language processing algorithms primarily as time-saving tools that are incapable of enhancing either discovery or interpretation and (2) their existing software falls well short of the state of the art in both visualization and NLP.

A Taxonomical NLP Blueprint to Support Financial Decision Making through Information-Centred Interactions

This report describes our PromptShots submissions to a shared task on Evaluating the Rationales of Amateur Investors (ERAI). We participated in both pairwise comparison and unsupervised ranking tasks. For pairwise comparison, we employed instruction-based models based on T5-small and OpenAI InstructGPT language models. Surprisingly, we observed OpenAI InstructGPT language model few-shot trained on Chinese data works best in our submissions, ranking 3rd on the maximal loss (ML) pairwise accuracy. This model works better than training on the Google translated English data by a large margin, where the English few-shot trained InstructGPT model even performs worse than an instruction-based T5-small model finetuned on the English data. However, all instruction-based submissions do not perform well on the maximal potential profit (MPP) pairwise accuracy where there are more data and learning signals. The Chinese few-shot trained InstructGPT model still performs best in our setting. For unsupervised ranking, we utilized many language models, including many financial-specific ones, and Bayesian lexicons unsupervised-learned on both Chinese and English words using a method-of-moments estimator. All our submissions rank best in the MPP ranking, from 1st to 3rd. However, they all do not perform well for ML scoring. Therefore, both MPP and ML scores need different treatments since we treated MPP and ML using the same formula. Our only difference is the treatment of market sentiment lexicons.

PromptShots at the FinNLP-2022 ERAI Task: Pairwise Comparison and Unsupervised Ranking

Using insights from social media for making investment decisions has become mainstream. However, in the current era of information ex- plosion, it is essential to mine high-quality so- cial media posts. The FinNLP-2022 ERAI task deals with assessing Maximum Possible Profit (MPP) and Maximum Loss (ML) from social me- dia posts relating to finance. In this paper, we present our team LIPI's approach. We ensem- bled a range of Sentence Transformers to quan- tify these posts. Unlike other teams with vary- ing performances across different metrics, our system performs consistently well. Our code is available here  https://github.com/sohomghosh/LIPI_ERAI_ FinNLP_EMNLP- 2022/

AstBERT: Enabling Language Model for Financial Code Understanding with Abstract Syntax Trees

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Disentangled Variational Topic Inference for Topic-Accurate Financial Report Generation

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