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The Journal of Financial Data Science

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FinEAS: Financial Embedding Analysis of Sentiment

Asier Gutiérrez-Fandiño, Petter N. Kolm, Miquel Noguer i Alonso and Jordi Armengol-Estapé
The Journal of Financial Data Science Summer 2022, jfds.2022.1.095; DOI: https://doi.org/10.3905/jfds.2022.1.095
Asier Gutiérrez-Fandiño
is an NLP research engineer at the Barcelona Supercomputing Center and LHF Labs in Barcelona, Spain
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Petter N. Kolm
is a clinical professor and the director of the mathematics in finance master’s program at the Courant Institute of Mathematical Sciences at New York University in New York
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Miquel Noguer i Alonso
is the founder of the Artificial Intelligence Finance Institute and an adjunct professor at the Courant Institute of Mathematical Sciences at New York University in New York
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Jordi Armengol-Estapé
is a research postgraduate student at University of Edinburgh
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Abstract

In this article, the authors introduce a new language representation model for sentiment analysis of financial text called financial embedding analysis of sentiment (FinEAS). The new approach is based on transformer language models that are explicitly developed for sentence-level analysis. By building upon Sentence-BERT, a sentence-level extension of vanilla BERT, the authors argue that the new approach produces sentence embeddings of higher quality that significantly improve sentence/document-level tasks such as financial sentiment analysis. Using a large-scale financial news dataset from RavenPack, they demonstrate that for financial sentiment analysis the new model outperforms several state-of-the-art models such as BERT, a bidirectional LSTM, and FinBERT, a financial-domain-specific BERT. The authors make the model code publicly available.

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The Journal of Financial Data Science: 4 (2)
The Journal of Financial Data Science
Vol. 4, Issue 2
Spring 2022
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FinEAS: Financial Embedding Analysis of Sentiment
Asier Gutiérrez-Fandiño, Petter N. Kolm, Miquel Noguer i Alonso, Jordi Armengol-Estapé
The Journal of Financial Data Science Jun 2022, jfds.2022.1.095; DOI: 10.3905/jfds.2022.1.095

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FinEAS: Financial Embedding Analysis of Sentiment
Asier Gutiérrez-Fandiño, Petter N. Kolm, Miquel Noguer i Alonso, Jordi Armengol-Estapé
The Journal of Financial Data Science Jun 2022, jfds.2022.1.095; DOI: 10.3905/jfds.2022.1.095
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  • Article
    • Abstract
    • RELATED WORK
    • BERT
    • THE FINEAS MODEL
    • DATA AND METHODOLOGY
    • EMPIRICAL RESULTS
    • CONCLUSION
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