Multimodal Multi-Task Financial Risk Forecasting

被引:33
作者
Sawhney, Ramit [1 ]
Mathur, Puneet [2 ]
Mangal, Ayush [3 ]
Khanna, Piyush [4 ]
Shah, Rajiv Ratn [5 ]
Zimmermann, Roger [6 ]
机构
[1] Netaji Subhas Inst Technol, Delhi, India
[2] Univ Maryland, College Pk, MD 20742 USA
[3] IIT Roorkee, Roorkee, Uttar Pradesh, India
[4] Delhi Technol Univ, Delhi, India
[5] IIIT Delhi, MIDAS, Delhi, India
[6] Natl Univ Singapore, Singapore, Singapore
来源
MM '20: PROCEEDINGS OF THE 28TH ACM INTERNATIONAL CONFERENCE ON MULTIMEDIA | 2020年
关键词
multi-task learning; finance; speech processing; stock prediction; EARNINGS-ANNOUNCEMENT DRIFT; CONFERENCE CALLS; NEURAL-NETWORK; VOLATILITY; UNCERTAINTY; ANOMALIES; SENTIMENT; MODEL;
D O I
10.1145/3394171.3413752
中图分类号
TP18 [人工智能理论];
学科分类号
081104 ; 0812 ; 0835 ; 1405 ;
摘要
Stock price movement and volatility prediction aim to predict stocks' future trends to help investors make sound investment decisions and model financial risk. Companies' earnings calls are a rich, underexplored source of multimodal information for financial forecasting. However, existing fintech solutions are not optimized towards harnessing the interplay between the multimodal verbal and vocal cues in earnings calls. In this work, we present a multi-task solution that utilizes domain specialized textual features and audio attentive alignment for predictive financial risk and price modeling. Our method advances existing solutions in two aspects: 1) tailoring a deep multimodal text-audio attention model, 2) optimizing volatility, and price movement prediction in a multi-task ensemble formulation. Through quantitative and qualitative analyses, we show the effectiveness of our deep multimodal approach.
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页码:456 / 465
页数:10
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