Publication Type
Conference Proceeding Article
Version
publishedVersion
Publication Date
5-2022
Abstract
Most works on financial forecasting use information directly associated with individual companies (e.g., stock prices, news on the company) to predict stock returns for trading. We refer to such company-specific information as local information. Stock returns may also be influenced by global information (e.g., news on the economy in general), and inter-company relationships. Capturing such diverse information is challenging due to the low signal-to-noise ratios, different time-scales, sparsity and distributions of global and local information from different modalities. In this paper, we propose a model that captures both global and local multimodal information for investment and risk management-related forecasting tasks. Our proposed Guided Attention Multimodal Multitask Network (GAME) model addresses these challenges by using novel attention modules to guide learning with global and local information from different modalities and dynamic inter-company relationship networks. Our extensive experiments show that GAME outperforms other state-of-the-art models in several forecasting tasks and important real-world application case studies.
Discipline
Databases and Information Systems | OS and Networks
Research Areas
Data Science and Engineering
Publication
Proceedings of the 60th Annual Meeting of the Association for Computational Linguistics, Dublin, Ireland, 2022 May 22-27
First Page
6313
Last Page
6326
Identifier
10.18653/v1/2022.acl-long.437
Publisher
Association for Computational Linguistics
City or Country
Dublin
Citation
ANG, Meng Kiat Gary and LIM, Ee-peng.
Guided attention multimodal multitask financial forecasting with inter-company relationships and global and local news. (2022). Proceedings of the 60th Annual Meeting of the Association for Computational Linguistics, Dublin, Ireland, 2022 May 22-27. 6313-6326.
Available at: https://ink.library.smu.edu.sg/sis_research/7267
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
http://doi.org/10.18653/v1/2022.acl-long.437