Qinkai Chen

Qinkai Chen, Mohamed El-Mennaoui, Antoine Fosset et al. · berkeley

With an increasing amount of data in the art world, discovering artists and artworks suitable to collectors' tastes becomes a challenge. It is no longer enough to use visual information, as contextual information about the artist has become just as important in contemporary art. In this work, we present a generic Natural Language Processing framework (called ArtLM) to discover the connections among contemporary artists based on their biographies. In this approach, we first continue to pre-train the existing general English language models with a large amount of unlabelled art-related data. We then fine-tune this new pre-trained model with our biography pair dataset manually annotated by a team of professionals in the art industry. With extensive experiments, we demonstrate that our ArtLM achieves 85.6% accuracy and 84.0% F1 score and outperforms other baseline models. We also provide a visualisation and a qualitative analysis of the artist network built from ArtLM's outputs.

Qinkai Chen, Christian-Yann Robert

The existing publications demonstrate that the limit order book data is useful in predicting short-term volatility in stock markets. Since stocks are not independent, changes on one stock can also impact other related stocks. In this paper, we are interested in forecasting short-term realized volatility in a multivariate approach based on limit order book data and relational data. To achieve this goal, we introduce Graph Transformer Network for Volatility Forecasting. The model allows to combine limit order book features and an unlimited number of temporal and cross-sectional relations from different sources. Through experiments based on about 500 stocks from S&P 500 index, we find a better performance for our model than for other benchmarks.

Qinkai Chen, Christian-Yann Robert

Predicting stock prices from textual information is a challenging task due to the uncertainty of the market and the difficulty understanding the natural language from a machine's perspective. Previous researches focus mostly on sentiment extraction based on single news. However, the stocks on the financial market can be highly correlated, one news regarding one stock can quickly impact the prices of other stocks. To take this effect into account, we propose a new stock movement prediction framework: Multi-Graph Recurrent Network for Stock Forecasting (MGRN). This architecture allows to combine the textual sentiment from financial news and multiple relational information extracted from other financial data. Through an accuracy test and a trading simulation on the stocks in the STOXX Europe 600 index, we demonstrate a better performance from our model than other benchmarks.

Qinkai Chen

News events can greatly influence equity markets. In this paper, we are interested in predicting the short-term movement of stock prices after financial news events using only the headlines of the news. To achieve this goal, we introduce a new text mining method called Fine-Tuned Contextualized-Embedding Recurrent Neural Network (FT-CE-RNN). Compared with previous approaches which use static vector representations of the news (static embedding), our model uses contextualized vector representations of the headlines (contextualized embeddings) generated from Bidirectional Encoder Representations from Transformers (BERT). Our model obtains the state-of-the-art result on this stock movement prediction task. It shows significant improvement compared with other baseline models, in both accuracy and trading simulations. Through various trading simulations based on millions of headlines from Bloomberg News, we demonstrate the ability of this model in real scenarios.