Volatility Prediction using Financial Disclosures Sentiments with Word Embedding-based IR Models

Volatility prediction--an essential concept in financial markets--has recently been addressed using sentiment analysis methods. We investigate the sentiment of annual disclosures of companies in stock markets to forecast volatility. We specifically explore the use of recent Information Retrieval (IR) term weighting models that are effectively extended by related terms using word embeddings. In parallel to textual information, factual market data have been widely used as the mainstream approach to forecast market risk. We therefore study different fusion methods to combine text and market data resources. Our word embedding-based approach significantly outperforms state-of-the-art methods. In addition, we investigate the characteristics of the reports of the companies in different financial sectors

CentralNet: a Multilayer Approach for Multimodal Fusion

This paper proposes a novel multimodal fusion approach, aiming to produce best possible decisions by integrating information coming from multiple media. While most of the past multimodal approaches either work by projecting the features of different modalities into the same space, or by coordinating the representations of each modality through the use of constraints, our approach borrows from both visions. More specifically, assuming each modality can be processed by a separated deep convolutional network, allowing to take decisions independently from each modality, we introduce a central network linking the modality specific networks. This central network not only provides a common feature embedding but also regularizes the modality specific networks through the use of multi-task learning. The proposed approach is validated on 4 different computer vision tasks on which it consistently improves the accuracy of existing multimodal fusion approaches