Context, Language Modeling, and Multimodal Data in Finance [journal]

Journal

The Journal of Financial Data Science - June 1, 2021

Authors

Sanjiv Das, Connor Goggins, John He, George Karypis (professor), Sandeep Krishnamurthy, Mitali Mahajan, Nagpurnanand Prabhala, Dylan Slack, Rob van Dusen, Shenghua Yue, Sheng Zha, Shuai Zheng

Abstract

The authors enhance pretrained language models with Securities and Exchange Commission filings data to create better language representations for features used in a predictive model. Specifically, they train RoBERTa class models with additional financial regulatory text, which they denote as a class of RoBERTa-Fin models. Using different datasets, the authors assess whether there is material improvement over models that use only text-based numerical features (e.g., sentiment, readability, polarity), which is the traditional approach adopted in academia and practice. The RoBERTa-Fin models also outperform generic bidirectional encoder representations from transformers (BERT) class models that are not trained with financial text. The improvement in classification accuracy is material, suggesting that full text and context are important in classifying financial documents and that the benefits from the use of mixed data, (i.e., enhancing numerical tabular data with text) are feasible and fruitful in machine learning models in finance.

Link to full paper

Context, Language Modeling, and Multimodal Data in Finance

Keywords

data science, big data, machine learning