Agam Shah


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Trillion Dollar Words: A New Financial Dataset, Task & Market Analysis
Agam Shah | Suvan Paturi | Sudheer Chava
Proceedings of the 61st Annual Meeting of the Association for Computational Linguistics (Volume 1: Long Papers)

Monetary policy pronouncements by Federal Open Market Committee (FOMC) are a major driver of financial market returns. We construct the largest tokenized and annotated dataset of FOMC speeches, meeting minutes, and press conference transcripts in order to understand how monetary policy influences financial markets. In this study, we develop a novel task of hawkish-dovish classification and benchmark various pre-trained language models on the proposed dataset. Using the best-performing model (RoBERTa-large), we construct a measure of monetary policy stance for the FOMC document release days. To evaluate the constructed measure, we study its impact on the treasury market, stock market, and macroeconomic indicators. Our dataset, models, and code are publicly available on Huggingface and GitHub under CC BY-NC 4.0 license.


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When FLUE Meets FLANG: Benchmarks and Large Pretrained Language Model for Financial Domain
Raj Shah | Kunal Chawla | Dheeraj Eidnani | Agam Shah | Wendi Du | Sudheer Chava | Natraj Raman | Charese Smiley | Jiaao Chen | Diyi Yang
Proceedings of the 2022 Conference on Empirical Methods in Natural Language Processing

Pre-trained language models have shown impressive performance on a variety of tasks and domains. Previous research on financial language models usually employs a generic training scheme to train standard model architectures, without completely leveraging the richness of the financial data. We propose a novel domain specific Financial LANGuage model (FLANG) which uses financial keywords and phrases for better masking, together with span boundary objective and in-filing objective. Additionally, the evaluation benchmarks in the field have been limited. To this end, we contribute the Financial Language Understanding Evaluation (FLUE), an open-source comprehensive suite of benchmarks for the financial domain. These include new benchmarks across 5 NLP tasks in financial domain as well as common benchmarks used in the previous research. Experiments on these benchmarks suggest that our model outperforms those in prior literature on a variety of NLP tasks. Our models, code and benchmark data will be made publicly available on Github and Huggingface.