For an overview of our team's work please refer to our video presentation and its associated slides or refer to our full final report.
Working with Akshat Gupta, our team’s project for 11-785 is to generate financial word embeddings. Efficient word embeddings can improve performance on downstream tasks by effectively modeling relationship between words in a denser vector space than simple one hot encoding; however, a general English embedding might have spurious relationships for financial downstream tasks. We reviewed several popular word embedding models and evaluated their performance on the tasks in the financial domain. We then implemented word2vec and GloVe on a subset of SEC Filings from 1994. Lastly, we tuned BERT and BERT based architectures on a SEC Filings from 1993 - 2002. Furthermore, we performed block coordinate descent to optimize our model and parameters for training and analyzed different combinations of the hidden and attention layers. Through these ablation studies we improved the accuracy on the downstream task provided by the financial phrase bank of sentiment classification from 71% to 80% on distil BERT and we improved area under the curve (AUC) from 0.8066 to 0.8993. This demonstrates the value of training on domain specific knowledge, and future work could expand on hyper parameter tuning with larger architectures.
Our code is seperated broadly into the downstream task and the embedding generation.