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

DOI10.1287/ijoc.2020.1046OpenAlexW3156592220MaRDI QIDQ5084666

Kunpeng Zhang, Yangyang Fan, Yi Yang

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

knowledgemachine learningvolatility predictionword embeddingL\&M dictionary

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Uses Software

• WordNet
• word2vec
• GloVe
• Tensor2Tensor
• BERT

Cites Work

• The Pricing of Options and Corporate Liabilities
• Adaptive Auction Mechanism Design and the Incorporation of Prior Knowledge
• A Commonsense Knowledge-Enabled Textual Analysis Approach for Financial Market Surveillance
• 10.1162/jmlr.2003.3.4-5.993

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