- Realised Volatility Forecasting: Machine Learning via Financial Word Embedding This study develops FinText, a financial word embedding compiled from 15 years of business news archives. The results show that FinText produces substantially more accurate results than general word embeddings based on the gold-standard financial benchmark we introduced. In contrast to well-known econometric models, and over the sample period from 27 July 2007 to 27 January 2022 for 23 NASDAQ stocks, using stock-related news, our simple natural language processing model supported by different word embeddings improves realised volatility forecasts on high volatility days. This improvement in realised volatility forecasting performance switches to normal volatility days when general hot news is used. By utilising SHAP, an Explainable AI method, we also identify and classify key phrases in stock-related and general hot news that moved volatility. 3 authors · Aug 1, 2021
1 BUSTER: a "BUSiness Transaction Entity Recognition" dataset Albeit Natural Language Processing has seen major breakthroughs in the last few years, transferring such advances into real-world business cases can be challenging. One of the reasons resides in the displacement between popular benchmarks and actual data. Lack of supervision, unbalanced classes, noisy data and long documents often affect real problems in vertical domains such as finance, law and health. To support industry-oriented research, we present BUSTER, a BUSiness Transaction Entity Recognition dataset. The dataset consists of 3779 manually annotated documents on financial transactions. We establish several baselines exploiting both general-purpose and domain-specific language models. The best performing model is also used to automatically annotate 6196 documents, which we release as an additional silver corpus to BUSTER. 4 authors · Feb 15, 2024
- Impact of News on the Commodity Market: Dataset and Results Over the last few years, machine learning based methods have been applied to extract information from news flow in the financial domain. However, this information has mostly been in the form of the financial sentiments contained in the news headlines, primarily for the stock prices. In our current work, we propose that various other dimensions of information can be extracted from news headlines, which will be of interest to investors, policy-makers and other practitioners. We propose a framework that extracts information such as past movements and expected directionality in prices, asset comparison and other general information that the news is referring to. We apply this framework to the commodity "Gold" and train the machine learning models using a dataset of 11,412 human-annotated news headlines (released with this study), collected from the period 2000-2019. We experiment to validate the causal effect of news flow on gold prices and observe that the information produced from our framework significantly impacts the future gold price. 2 authors · Sep 9, 2020
- NewsEdits 2.0: Learning the Intentions Behind Updating News As events progress, news articles often update with new information: if we are not cautious, we risk propagating outdated facts. In this work, we hypothesize that linguistic features indicate factual fluidity, and that we can predict which facts in a news article will update using solely the text of a news article (i.e. not external resources like search engines). We test this hypothesis, first, by isolating fact-updates in large news revisions corpora. News articles may update for many reasons (e.g. factual, stylistic, narrative). We introduce the NewsEdits 2.0 taxonomy, an edit-intentions schema that separates fact updates from stylistic and narrative updates in news writing. We annotate over 9,200 pairs of sentence revisions and train high-scoring ensemble models to apply this schema. Then, taking a large dataset of silver-labeled pairs, we show that we can predict when facts will update in older article drafts with high precision. Finally, to demonstrate the usefulness of these findings, we construct a language model question asking (LLM-QA) abstention task. We wish the LLM to abstain from answering questions when information is likely to become outdated. Using our predictions, we show, LLM absention reaches near oracle levels of accuracy. 4 authors · Nov 27, 2024
- AutoCast++: Enhancing World Event Prediction with Zero-shot Ranking-based Context Retrieval Machine-based prediction of real-world events is garnering attention due to its potential for informed decision-making. Whereas traditional forecasting predominantly hinges on structured data like time-series, recent breakthroughs in language models enable predictions using unstructured text. In particular, (Zou et al., 2022) unveils AutoCast, a new benchmark that employs news articles for answering forecasting queries. Nevertheless, existing methods still trail behind human performance. The cornerstone of accurate forecasting, we argue, lies in identifying a concise, yet rich subset of news snippets from a vast corpus. With this motivation, we introduce AutoCast++, a zero-shot ranking-based context retrieval system, tailored to sift through expansive news document collections for event forecasting. Our approach first re-ranks articles based on zero-shot question-passage relevance, honing in on semantically pertinent news. Following this, the chosen articles are subjected to zero-shot summarization to attain succinct context. Leveraging a pre-trained language model, we conduct both the relevance evaluation and article summarization without needing domain-specific training. Notably, recent articles can sometimes be at odds with preceding ones due to new facts or unanticipated incidents, leading to fluctuating temporal dynamics. To tackle this, our re-ranking mechanism gives preference to more recent articles, and we further regularize the multi-passage representation learning to align with human forecaster responses made on different dates. Empirical results underscore marked improvements across multiple metrics, improving the performance for multiple-choice questions (MCQ) by 48% and true/false (TF) questions by up to 8%. 5 authors · Oct 3, 2023
- News Category Dataset People rely on news to know what is happening around the world and inform their daily lives. In today's world, when the proliferation of fake news is rampant, having a large-scale and high-quality source of authentic news articles with the published category information is valuable to learning authentic news' Natural Language syntax and semantics. As part of this work, we present a News Category Dataset that contains around 210k news headlines from the year 2012 to 2022 obtained from HuffPost, along with useful metadata to enable various NLP tasks. In this paper, we also produce some novel insights from the dataset and describe various existing and potential applications of our dataset. 1 authors · Sep 23, 2022
- NewsEdits: A News Article Revision Dataset and a Document-Level Reasoning Challenge News article revision histories provide clues to narrative and factual evolution in news articles. To facilitate analysis of this evolution, we present the first publicly available dataset of news revision histories, NewsEdits. Our dataset is large-scale and multilingual; it contains 1.2 million articles with 4.6 million versions from over 22 English- and French-language newspaper sources based in three countries, spanning 15 years of coverage (2006-2021). We define article-level edit actions: Addition, Deletion, Edit and Refactor, and develop a high-accuracy extraction algorithm to identify these actions. To underscore the factual nature of many edit actions, we conduct analyses showing that added and deleted sentences are more likely to contain updating events, main content and quotes than unchanged sentences. Finally, to explore whether edit actions are predictable, we introduce three novel tasks aimed at predicting actions performed during version updates. We show that these tasks are possible for expert humans but are challenging for large NLP models. We hope this can spur research in narrative framing and help provide predictive tools for journalists chasing breaking news. 4 authors · Jun 14, 2022