Guided Attention Multimodal Multitask Financial Forecasting with Inter-Company Relationships and Global and Local News

Gary Ang, Ee-Peng Lim


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.
Anthology ID:
2022.acl-long.437
Volume:
Proceedings of the 60th Annual Meeting of the Association for Computational Linguistics (Volume 1: Long Papers)
Month:
May
Year:
2022
Address:
Dublin, Ireland
Venue:
ACL
SIG:
Publisher:
Association for Computational Linguistics
Note:
Pages:
6313–6326
Language:
URL:
https://aclanthology.org/2022.acl-long.437
DOI:
10.18653/v1/2022.acl-long.437
Bibkey:
Cite (ACL):
Gary Ang and Ee-Peng Lim. 2022. Guided Attention Multimodal Multitask Financial Forecasting with Inter-Company Relationships and Global and Local News. In Proceedings of the 60th Annual Meeting of the Association for Computational Linguistics (Volume 1: Long Papers), pages 6313–6326, Dublin, Ireland. Association for Computational Linguistics.
Cite (Informal):
Guided Attention Multimodal Multitask Financial Forecasting with Inter-Company Relationships and Global and Local News (Ang & Lim, ACL 2022)
Copy Citation:
PDF:
https://aclanthology.org/2022.acl-long.437.pdf
Software:
 2022.acl-long.437.software.zip