paper
Group, Extract and Aggregate: Summarizing a Large Amount of Finance News for Forex Movement Prediction
Deli Chen, Shuming ma, Keiko Harimoto, Ruihan Bao, Qi Su
Group, Extract and Aggregate: Summarizing a Large Amount of Finance News for Forex Movement Prediction
Deli Chen, Shuming ma, Keiko Harimoto, Ruihan Bao, Qi Su
Paper2019-10-11English
quantitative financearxiv
Description
Incorporating related text information has proven successful in stock market prediction. However, it is a huge challenge to utilize texts in the enormous forex (foreign currency exchange) market because the associated texts are too redundant. In this work, we propose a BERT-based Hierarchical Aggregation Model to summarize a large amount of finance news to predict forex movement. We firstly group news from different aspects: time, topic and category. Then we extract the most crucial news in each...
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