Modeling Financial Uncertainty with Multivariate Temporal Entropy-based Curriculums

Abstract

In the financial realm, profit generation greatly relies on the complicated task of stock prediction. Lately, neural methods have shown success in exploiting stock affecting signals from textual data across news and tweets to forecast stock performance. However, the dynamic, stochastic, and variably influential nature of text and prices makes it difficult to train neural stock trading models, limiting predictive performance and profits. To transcend this limitation, we propose a novel multimodal curriculum learning approach: FinCLASS, which evaluates stock affecting signals via entropybased heuristics and measures their linguistic and price-based complexities in a time-aware, hierarchical fashion. We show that training financial models can benefit by exposing neural networks to easier examples of stock affecting signals early during the training phase, before introducing samples having more complex linguistic and pricebased temporal variations. Through experiments on benchmark English tweets and Chinese financial news spanning two major indexes and four global markets, we show how FinCLASS outperforms state-of-the-art across financial tasks of stock movement prediction, volatility regression, and profit generation. Through ablative and qualitative experiments, we set the case for FinCLASS as a generalizable framework for developing natural language-centric neural models for financial tasks.

Publication
Accepted in UAI 2021

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