@InProceedings{xu-cohen:2018:Long,
  author    = {Xu, Yumo  and  Cohen, Shay B.},
  title     = {Stock Movement Prediction from Tweets and Historical Prices},
  booktitle = {Proceedings of the 56th Annual Meeting of the Association for Computational Linguistics (Volume 1: Long Papers)},
  month     = {July},
  year      = {2018},
  address   = {Melbourne, Australia},
  publisher = {Association for Computational Linguistics},
  pages     = {1970--1979},
  abstract  = {Stock movement prediction is a challenging problem: the market is highly stochastic, and we make temporally-dependent predictions from chaotic data. We treat these three complexities and present a novel deep generative model jointly exploiting text and price signals for this task. Unlike the case with discriminative or topic modeling, our model introduces recurrent, continuous latent variables for a better treatment of stochasticity, and uses neural variational inference to address the intractable posterior inference. We also provide a hybrid objective with temporal auxiliary to flexibly capture predictive dependencies. We demonstrate the state-of-the-art performance of our proposed model on a new stock movement prediction dataset which we collected.},
  url       = {http://www.aclweb.org/anthology/P18-1183}
}