IDEAS home Printed from https://ideas.repec.org/p/arx/papers/1912.10858.html
   My bibliography  Save this paper

"The Squawk Bot": Joint Learning of Time Series and Text Data Modalities for Automated Financial Information Filtering

Author

Listed:
  • Xuan-Hong Dang
  • Syed Yousaf Shah
  • Petros Zerfos

Abstract

Multimodal analysis that uses numerical time series and textual corpora as input data sources is becoming a promising approach, especially in the financial industry. However, the main focus of such analysis has been on achieving high prediction accuracy while little effort has been spent on the important task of understanding the association between the two data modalities. Performance on the time series hence receives little explanation though human-understandable textual information is available. In this work, we address the problem of given a numerical time series, and a general corpus of textual stories collected in the same period of the time series, the task is to timely discover a succinct set of textual stories associated with that time series. Towards this goal, we propose a novel multi-modal neural model called MSIN that jointly learns both numerical time series and categorical text articles in order to unearth the association between them. Through multiple steps of data interrelation between the two data modalities, MSIN learns to focus on a small subset of text articles that best align with the performance in the time series. This succinct set is timely discovered and presented as recommended documents, acting as automated information filtering, for the given time series. We empirically evaluate the performance of our model on discovering relevant news articles for two stock time series from Apple and Google companies, along with the daily news articles collected from the Thomson Reuters over a period of seven consecutive years. The experimental results demonstrate that MSIN achieves up to 84.9% and 87.2% in recalling the ground truth articles respectively to the two examined time series, far more superior to state-of-the-art algorithms that rely on conventional attention mechanism in deep learning.

Suggested Citation

  • Xuan-Hong Dang & Syed Yousaf Shah & Petros Zerfos, 2019. ""The Squawk Bot": Joint Learning of Time Series and Text Data Modalities for Automated Financial Information Filtering," Papers 1912.10858, arXiv.org.
  • Handle: RePEc:arx:papers:1912.10858
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/1912.10858
    File Function: Latest version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Song, Yu & Akagi, Fumio, 2016. "Application of artificial neural network for the prediction of stock market returns: The case of the Japanese stock marketAuthor-Name: Qiu, Mingyue," Chaos, Solitons & Fractals, Elsevier, vol. 85(C), pages 1-7.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Ehsan Hoseinzade & Saman Haratizadeh & Arash Khoeini, 2019. "U-CNNpred: A Universal CNN-based Predictor for Stock Markets," Papers 1911.12540, arXiv.org.
    2. M. Mallikarjuna & R. Prabhakara Rao, 2019. "Evaluation of forecasting methods from selected stock market returns," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 5(1), pages 1-16, December.
    3. Erdinc Akyildirim & Aurelio F. Bariviera & Duc Khuong Nguyen & Ahmet Sensoy, 2022. "Forecasting high-frequency stock returns: a comparison of alternative methods," Annals of Operations Research, Springer, vol. 313(2), pages 639-690, June.
    4. Ehsan Hoseinzade & Saman Haratizadeh, 2018. "CNNPred: CNN-based stock market prediction using several data sources," Papers 1810.08923, arXiv.org.
    5. Manel Hamdi & Walid Chkili, 2019. "An artificial neural network augmented GARCH model for Islamic stock market volatility: Do asymmetry and long memory matter?," Working Papers 13, Economic Research Forum, revised 21 Aug 2019.
    6. Sujin Pyo & Jaewook Lee & Mincheol Cha & Huisu Jang, 2017. "Predictability of machine learning techniques to forecast the trends of market index prices: Hypothesis testing for the Korean stock markets," PLOS ONE, Public Library of Science, vol. 12(11), pages 1-17, November.
    7. Eva DEZSI & Ioan Alin NISTOR, 2016. "Can Deep Machine Learning Outsmart The Market? A Comparison Between Econometric Modelling And Long- Short Term Memory," Romanian Economic Business Review, Romanian-American University, vol. 11(4.1), pages 54-73, december.
    8. Chia-Cheng Chen & Yisheng Liu & Ting-Hsin Hsu, 2019. "An Analysis on Investment Performance of Machine Learning: An Empirical Examination on Taiwan Stock Market," International Journal of Economics and Financial Issues, Econjournals, vol. 9(4), pages 1-10.
    9. Chia-Cheng Chen & Chun-Hung Chen & Ting-Yin Liu, 2020. "Investment Performance of Machine Learning: Analysis of S&P 500 Index," International Journal of Economics and Financial Issues, Econjournals, vol. 10(1), pages 59-66.
    10. Jun Zhang & Lan Li & Wei Chen, 2021. "Predicting Stock Price Using Two-Stage Machine Learning Techniques," Computational Economics, Springer;Society for Computational Economics, vol. 57(4), pages 1237-1261, April.
    11. Duan, Yunlong & Mu, Chang & Yang, Meng & Deng, Zhiqing & Chin, Tachia & Zhou, Li & Fang, Qifeng, 2021. "Study on early warnings of strategic risk during the process of firms’ sustainable innovation based on an optimized genetic BP neural networks model: Evidence from Chinese manufacturing firms," International Journal of Production Economics, Elsevier, vol. 242(C).
    12. Chen, Wei & Zhang, Haoyu & Jia, Lifen, 2022. "A novel two-stage method for well-diversified portfolio construction based on stock return prediction using machine learning," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    13. Sun, Ying & Zhang, Luying & Yao, Minghui, 2023. "Chaotic time series prediction of nonlinear systems based on various neural network models," Chaos, Solitons & Fractals, Elsevier, vol. 175(P1).
    14. Rohitash Chandra & Yixuan He, 2021. "Bayesian neural networks for stock price forecasting before and during COVID-19 pandemic," PLOS ONE, Public Library of Science, vol. 16(7), pages 1-32, July.
    15. Jujie Wang & Yinan Liao & Zhenzhen Zhuang & Dongming Gao, 2021. "An Optimal Weighted Combined Model Coupled with Feature Reconstruction and Deep Learning for Multivariate Stock Index Forecasting," Mathematics, MDPI, vol. 9(21), pages 1-20, October.
    16. Gourav Kumar & Uday Pratap Singh & Sanjeev Jain, 2022. "Swarm Intelligence Based Hybrid Neural Network Approach for Stock Price Forecasting," Computational Economics, Springer;Society for Computational Economics, vol. 60(3), pages 991-1039, October.
    17. Faraz Sasani & Ramin Mousa & Ali Karkehabadi & Samin Dehbashi & Ali Mohammadi, 2023. "TM-vector: A Novel Forecasting Approach for Market stock movement with a Rich Representation of Twitter and Market data," Papers 2304.02094, arXiv.org.
    18. Ku, Seungmo & Lee, Changju & Chang, Woojin & Wook Song, Jae, 2020. "Fractal structure in the S&P500: A correlation-based threshold network approach," Chaos, Solitons & Fractals, Elsevier, vol. 137(C).
    19. U, JuHyok & Lu, PengYu & Kim, ChungSong & Ryu, UnSok & Pak, KyongSok, 2020. "A new LSTM based reversal point prediction method using upward/downward reversal point feature sets," Chaos, Solitons & Fractals, Elsevier, vol. 132(C).

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1912.10858. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.