Hybrid Learning to Rank for Financial Event Ranking

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Abstract

The financial markets are moved by events such as the issuance of administrative orders. The participants in financial markets (e.g., traders) thus pay constant attention to financial news relevant to the financial asset (e.g., oil) of interest. Due to the large scale of news stream, it is time and labor intensive to manually identify influential events that can move the price of the financial asset, pushing the financial participants to embrace automatic financial event ranking, which has received relatively little scrutiny to date. In this work, we formulate the financial event ranking task, which aims to score financial news (document) according to its influence to the given asset (query). To solve this task, we propose a Hybrid News Ranking framework that, from the asset perspective, evaluates the influence of news articles by comparing their contents; and from the event perspective, accesses the influence over all query assets. Moreover, we resolve the dilemma between the essential requirement of sufficient labels for training the framework and the unaffordable cost of hiring domain experts for labeling the news. In particular, we design a cost-friendly system for news labeling that leverages the knowledge within published financial analyst reports. In this way, we construct three financial event ranking datasets. Extensive experiments on the datasets validate the effectiveness of the proposed framework and the rationality of solving financial event ranking through learning to rank.

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APA

Feng, F., Li, M., Luo, C., Ng, R., & Chua, T. S. (2021). Hybrid Learning to Rank for Financial Event Ranking. In SIGIR 2021 - Proceedings of the 44th International ACM SIGIR Conference on Research and Development in Information Retrieval (pp. 233–243). Association for Computing Machinery, Inc. https://doi.org/10.1145/3404835.3462969

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