Knowledge Graph-based Event Embedding Framework for Financial Quantitative Investments
- Publication Type:
- Conference Proceeding
- SIGIR 2020 - Proceedings of the 43rd International ACM SIGIR Conference on Research and Development in Information Retrieval, 2020, pp. 2221-2230
- Issue Date:
Copyright Clearance Process
- Recently Added
- In Progress
- Closed Access
This item is closed access and not available.
© 2020 ACM. Event representative learning aims to embed news events into continuous space vectors for capturing syntactic and semantic information from text corpus, which is benefit to event-driven quantitative investments. However, the financial market reaction of events is also influenced by the lead-lag effect, which is driven by internal relationships. Therefore, in this paper, we present a knowledge graph-based event embedding framework for quantitative investments. In particular, we first extract structured events from raw texts, and construct the knowledge graph with the mentioned entities and relations simultaneously. Then, we leverage a joint model to merge the knowledge graph information into the objective function of an event embedding learning model. The learned representations are fed as inputs of downstream quantitative trading methods. Extensive experiments on real-world dataset demonstrate the effectiveness of the event embeddings learned from financial news and knowledge graphs. We also deploy the framework for quantitative algorithm trading. The accumulated portfolio return contributed by our method significantly outperforms other baselines.
Please use this identifier to cite or link to this item: