Chapter 10: Text Feature Engineering
Coverage-Aware Evaluation and Event-Time Alignment for Text Signals intermediate
A text model is not useful because it predicts labels accurately. It is useful only if its signal is available when you trade, on enough names, at the horizon that matters.
A text model is not useful because it predicts labels accurately. It is useful only if its signal is available when you trade, on enough names, at the horizon that matters.
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References
When Is a Liability Not a Liability? Textual Analysis, Dictionaries, and 10-Ks
Tim Loughran, Bill Mcdonald
(2011)
— The Journal of Finance
Textual Analysis in Finance
Tim Loughran, Bill McDonald
(2020)
— Annual Review of Financial Economics
FinBERT—A Deep Learning Approach to Extracting Textual Information
Allen Huang, Hui Wang, Yi Yang
(2020)
— SSRN Electronic Journal