论文标题
NUMHTML:多任务财务预测的面向数字的层次变压器模型
NumHTML: Numeric-Oriented Hierarchical Transformer Model for Multi-task Financial Forecasting
论文作者
论文摘要
财务预测一直是机器学习研究的一个重要而活跃的领域,因为它提出的挑战以及潜在的回报,即使预测准确性或预测可能会带来较小的改善。传统上,财务预测在很大程度上依赖于从结构化财务报表中得出的定量指标和指标。收入会议电话数据,包括文本和音频,是使用深度收入和相关方法用于各种预测任务的非结构化数据的重要来源。但是,当前基于深度学习的方法在处理数字数据的方式上受到限制。通常将数字视为普通文本代币,而无需利用其基本数字结构。本文描述了一个面向数字的层次变压器模型,以预测股票收益,并通过利用不同类别的数字(货币,时间,百分比等)及其幅度,使用多模式的收益呼叫数据进行财务风险。我们介绍了使用现实世界公开可用的数据集对NUMHTML进行全面评估的结果。结果表明,NUMHTML的表现明显胜过各种评估指标的当前最新技术,并且它有可能在实际交易环境中提供可观的财务收益。
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.