Analyzing Firm Reports for Volatility Prediction: A Knowledge-Driven Text-Embedding Approach

DOI10.1287/IJOC.2020.1046MaRDI QIDQ5084666zbMATH OpenOpenAlexFDO

Authors Yi Yang, Kunpeng Zhang, Yangyang Fan

Publication date 28 June 2022

Published in INFORMS Journal on Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/ijoc.2020.1046

zbMATH Keywords

knowledgeL\&M dictionarymachine learningvolatility predictionword embedding

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

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Cites work

• 10.1162/jmlr.2003.3.4-5.993
• A commonsense knowledge-enabled textual analysis approach for financial market surveillance
• Adaptive auction mechanism design and the incorporation of prior knowledge
• The pricing of options and corporate liabilities

Describes a project that uses

Uses Software

• GloVe
• Tensor2Tensor
• word2vec
• WordNet
• BERT

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