prompt_front: You are given a scientific article and a question. Answer the question as concisely as you can, using a single phrase or sentence if possible. If the question cannot be answered based on the information in the article, write "unanswerable". If the question is a yes/no question, answer "yes", "no", or "unanswerable". Do not provide any explanation.

Please answer the questions based on the text provided below. What are the source and target domains?
Context 1: Introduction
In practice, it is often difficult and costly to annotate sufficient training data for diverse application domains on-the-fly  We may have sufficient labeled data in an existing domain (called the source domain), but very few or no labeled data in a new domain (called the target domain)  This issue has motivated research on cross-domain sentiment classification, where knowledge in the source domain is transferred to the target domain in order to alleviate the required labeling effort 
One key challenge of domain adaptation is that data in the source and target domains are drawn from different distributions  Thus, adaptation performance will decline with an increase in distribution difference  Specifically, in sentiment analysis, reviews of different products have different vocabulary  For instance, restaurants reviews would contain opinion words such as “tender”, “tasty”, or “undercooked” and movie reviews would contain “thrilling”, “horrific”, or “hilarious”  The intersection between these two sets of opinion words could be small which makes domain adaptation difficult 
Several techniques have been proposed for addressing the problem of domain shifting  The aim is to bridge the source and target domains by learning domain-invariant feature representations so that a classifier trained on a source domain can be adapted to another target domain  In cross-domain sentiment classification, many works BIBREF0 , BIBREF1 , BIBREF2 , BIBREF3 , BIBREF4 utilize a key intuition that domain-specific features could be aligned with the help of domain-invariant features (pivot features)  For instance, “hilarious” and “tasty” could be aligned as both of them are relevant to “good” 
Despite their promising results, these works share two major limitations  First, they highly depend on the heuristic selection of pivot features, which may be sensitive to different applications  Thus the learned new representations may not effectively reduce the domain difference  Furthermore, these works only utilize the unlabeled target data for representation learning while the sentiment classifier was solely trained on the source domain  There have not been many studies on exploiting unlabeled target data for refining the classifier, even though it may contain beneficial information  How to effectively leverage unlabeled target data still remains an important challenge for domain adaptation 
In this work, we argue that the information from unlabeled target data is beneficial for domain adaptation and we propose a novel Domain Adaptive Semi-supervised learning framework (DAS) to better exploit it  Our main intuition is to treat the problem as a semi-supervised learning task by considering target instances as unlabeled data, assuming the domain distance can be effectively reduced through domain-invariant representation learning  Specifically, the proposed approach jointly performs feature adaptation and semi-supervised learning in a multi-task learning setting  For feature adaptation, it explicitly minimizes the distance between the encoded representations of the two domains  On this basis, two semi-supervised regularizations – entropy minimization and self-ensemble bootstrapping – are jointly employed to exploit unlabeled target data for classifier refinement 
We evaluate our method rigorously under multiple experimental settings by taking label distribution and corpus size into consideration  The results show that our model is able to obtain significant improvements over strong baselines  We also demonstrate through a series of analysis that the proposed method benefits greatly from incorporating unlabeled target data via semi-supervised learning, which is consistent with our motivation  Our datasets and source code can be obtained from https://github com/ruidan/DAS 
Related Work
Domain Adaptation: The majority of feature adaptation methods for sentiment analysis rely on a key intuition that even though certain opinion words are completely distinct for each domain, they can be aligned if they have high correlation with some domain-invariant opinion words (pivot words) such as “excellent” or “terrible”  Blitzer et al  ( BIBREF0 ) proposed a method based on structural correspondence learning (SCL), which uses pivot feature prediction to induce a projected feature space that works well for both the source and the target domains  The pivot words are selected in a way to cover common domain-invariant opinion words  Subsequent research aims to better align the domain-specific words BIBREF1 , BIBREF5 , BIBREF3 such that the domain discrepancy could be reduced  More recently, Yu and Jiang ( BIBREF4 ) borrow the idea of pivot feature prediction from SCL and extend it to a neural network-based solution with auxiliary tasks  In their experiment, substantial improvement over SCL has been observed due to the use of real-valued word embeddings  Unsupervised representation learning with deep neural networks (DNN) such as denoising autoencoders has also been explored for feature adaptation BIBREF6 , BIBREF7 , BIBREF8   It has been shown that DNNs could learn transferable representations that disentangle the underlying factors of variation behind data samples 
Although the aforementioned methods aim to reduce the domain discrepancy, they do not explicitly minimize the distance between distributions, and some of them highly rely on the selection of pivot features  In our method, we formally construct an objective for this purpose  Similar ideas have been explored in many computer vision problems, where the representations of the underlying domains are encouraged to be similar through explicit objectives BIBREF9 , BIBREF10 , BIBREF11 , BIBREF12 , BIBREF13 such as maximum mean discrepancy (MMD) BIBREF14   In NLP tasks, Li et al  ( BIBREF15 ) and Chen et al  ( BIBREF16 ) both proposed using adversarial training framework for reducing domain difference  In their model, a sub-network is added as a domain discriminator while deep features are learned to confuse the discriminator  The feature adaptation component in our model shares similar intuition with MMD and adversary training  We will show a detailed comparison with them in our experiments 
Semi-supervised Learning: We attempt to treat domain adaptation as a semi-supervised learning task by considering the target instances as unlabeled data  Some efforts have been initiated on transfer learning from unlabeled data BIBREF17 , BIBREF18 , BIBREF19   In our model, we reduce the domain discrepancy by feature adaptation, and thereafter adopt semi-supervised learning techniques to learn from unlabeled data  Primarily motivated by BIBREF20 and BIBREF21 , we employed entropy minimization and self-ensemble bootstrapping as regularizations to incorporate unlabeled data  Our experimental results show that both methods are effective when jointly trained with the feature adaptation objective, which confirms to our motivation 
Notations and Model Overview
We conduct most of our experiments under an unsupervised domain adaptation setting, where we have no labeled data from the target domain  Consider two sets INLINEFORM0 and INLINEFORM1   INLINEFORM2 is from the source domain with INLINEFORM3 labeled examples, where INLINEFORM4 is a one-hot vector representation of sentiment label and INLINEFORM5 denotes the number of classes  INLINEFORM6 is from the target domain with INLINEFORM7 unlabeled examples  INLINEFORM8 denotes the total number of training documents including both labeled and unlabeled  We aim to learn a sentiment classifier from INLINEFORM13 and INLINEFORM14 such that the classifier would work well on the target domain  We also present some results under a setting where we assume that a small number of labeled target examples are available (see Figure FIGREF27 ) 
For the proposed model, we denote INLINEFORM0 parameterized by INLINEFORM1 as a neural-based feature encoder that maps documents from both domains to a shared feature space, and INLINEFORM2 parameterized by INLINEFORM3 as a fully connected layer with softmax activation serving as the sentiment classifier  We aim to learn feature representations that are domain-invariant and at the same time discriminative on both domains, thus we simultaneously consider three factors in our objective: (1) minimize the classification error on the labeled source examples; (2) minimize the domain discrepancy; and (3) leverage unlabeled data via semi-supervised learning 
Suppose we already have the encoded features of documents INLINEFORM0 (see Section SECREF10 ), the objective function for purpose (1) is thus the cross entropy loss on the labeled source examples DISPLAYFORM0
where INLINEFORM0 denotes the predicted label distribution  In the following subsections, we will explain how to perform feature adaptation and domain adaptive semi-supervised learning in details for purpose (2) and (3) respectively 
Feature Adaptation
Unlike prior works BIBREF0 , BIBREF4 , our method does not attempt to align domain-specific words through pivot words  In our preliminary experiments, we found that word embeddings pre-trained on a large corpus are able to adequately capture this information  As we will later show in our experiments, even without adaptation, a naive neural network classifier with pre-trained word embeddings can already achieve reasonably good results 
We attempt to explicitly minimize the distance between the source and target feature representations ( INLINEFORM0 and INLINEFORM1 )  A few methods from literature can be applied such as Maximum Mean Discrepancy (MMD) BIBREF14 or adversary training BIBREF15 , BIBREF16   The main idea of MMD is to estimate the distance between two distributions as the distance between sample means of the projected embeddings in Hilbert space  MMD is implicitly computed through a characteristic kernel, which is used to ensure that the sample mean is injective, leading to the MMD being zero if and only if the distributions are identical  In our implementation, we skip the mapping procedure induced by a characteristic kernel for simplifying the computation and learning  We simply estimate the distribution distance as the distance between the sample means in the current embedding space  Although this approximation cannot preserve all statistical features of the underlying distributions, we find it performs comparably to MMD on our problem  The following equations formally describe the feature adaptation loss INLINEFORM2 : DISPLAYFORM0
INLINEFORM0 normalization is applied on the mean representations INLINEFORM1 and INLINEFORM2 , rescaling the vectors such that all entries sum to 1  We adopt a symmetric version of KL divergence BIBREF12 as the distance function  Given two distribution vectors INLINEFORM3 , INLINEFORM4  
Domain Adaptive Semi-supervised Learning (DAS)
We attempt to exploit the information in target data through semi-supervised learning objectives, which are jointly trained with INLINEFORM0 and INLINEFORM1   Normally, to incorporate target data, we can minimize the cross entropy loss between the true label distributions INLINEFORM2 and the predicted label distributions INLINEFORM3 over target samples  The challenge here is that INLINEFORM4 is unknown, and thus we attempt to estimate it via semi-supervised learning  We use entropy minimization and bootstrapping for this purpose  We will later show in our experiments that both methods are effective, and jointly employing them overall yields the best results 
Entropy Minimization: In this method, INLINEFORM0 is estimated as the predicted label distribution INLINEFORM1 , which is a function of INLINEFORM2 and INLINEFORM3   The loss can thus be written as DISPLAYFORM0
Assume the domain discrepancy can be effectively reduced through feature adaptation, by minimizing the entropy penalty, training of the classifier is influenced by the unlabeled target data and will generally maximize the margins between the target examples and the decision boundaries, increasing the prediction confidence on the target domain 
Self-ensemble Bootstrapping: Another way to estimate INLINEFORM0 corresponds to bootstrapping  The idea is to estimate the unknown labels as the predictions of the model learned from the previous round of training  Bootstrapping has been explored for domain adaptation in previous works BIBREF18 , BIBREF19   However, in their methods, domain discrepancy was not explicitly minimized via feature adaptation  Applying bootstrapping or other semi-supervised learning techniques in this case may worsen the results as the classifier can perform quite bad on the target data 
[t] Pseudocode for training DAS INLINEFORM0 , INLINEFORM1 , INLINEFORM2 , INLINEFORM3 INLINEFORM4 = ensembling momentum, INLINEFORM5 INLINEFORM6 = weight ramp-up function INLINEFORM7 INLINEFORM8 INLINEFORM9 each minibatch INLINEFORM10 , INLINEFORM11 , INLINEFORM12 in
INLINEFORM0 , INLINEFORM1 , INLINEFORM2 compute loss INLINEFORM3 on INLINEFORM4 compute loss INLINEFORM5 on INLINEFORM6 compute loss INLINEFORM7 on INLINEFORM8 compute loss INLINEFORM9 on INLINEFORM10 INLINEFORM11
update network parameters INLINEFORM0 , for INLINEFORM1 INLINEFORM2 INLINEFORM3
Inspired by the ensembling method proposed in BIBREF21 , we estimate INLINEFORM0 by forming ensemble predictions of labels during training, using the outputs on different training epochs  The loss is formulated as follows: DISPLAYFORM0
where INLINEFORM0 denotes the estimated labels computed on the ensemble predictions from different epochs  The loss is applied on all documents  It serves for bootstrapping on the unlabeled target data, and it also serves as a regularization that encourages the network predictions to be consistent in different training epochs  INLINEFORM1 is jointly trained with INLINEFORM2 , INLINEFORM3 , and INLINEFORM4   Algorithm SECREF6 illustrates the overall training process of the proposed domain adaptive semi-supervised learning (DAS) framework 
In Algorithm SECREF6 , INLINEFORM0 , INLINEFORM1 , and INLINEFORM2 are weights to balance the effects of INLINEFORM3 , INLINEFORM4 , and INLINEFORM5 respectively  INLINEFORM6 and INLINEFORM7 are constant hyper-parameters  We set INLINEFORM8 as a Gaussian curve to ramp up the weight from 0 to INLINEFORM9   This is to ensure the ramp-up of the bootstrapping loss component is slow enough in the beginning of the training  After each training epoch, we compute INLINEFORM10 which denotes the predictions made by the network in current epoch, and then the ensemble prediction INLINEFORM11 is updated as a weighted average of the outputs from previous epochs and the current epoch, with recent epochs having larger weight  For generating estimated labels INLINEFORM12 , INLINEFORM13 is converted to a one-hot vector where the entry with the maximum value is set to one and other entries are set to zeros  The self-ensemble bootstrapping is a generalized version of bootstrappings that only use the outputs from the previous round of training BIBREF18 , BIBREF19   The ensemble prediction is likely to be closer to the correct, unknown labels of the target data 
CNN Encoder Implementation
We have left the feature encoder INLINEFORM0 unspecified, for which, a few options can be considered  In our implementation, we adopt a one-layer CNN structure from previous works BIBREF22 , BIBREF4 , as it has been demonstrated to work well for sentiment classification tasks  Given a review document INLINEFORM1 consisting of INLINEFORM2 words, we begin by associating each word with a continuous word embedding BIBREF23 INLINEFORM3 from an embedding matrix INLINEFORM4 , where INLINEFORM5 is the vocabulary size and INLINEFORM6 is the embedding dimension  INLINEFORM7 is jointly updated with other network parameters during training  Given a window of dense word embeddings INLINEFORM8 , the convolution layer first concatenates these vectors to form a vector INLINEFORM9 of length INLINEFORM10 and then the output vector is computed by Equation ( EQREF11 ): DISPLAYFORM0
INLINEFORM0 , INLINEFORM1 is the parameter set of the encoder INLINEFORM2 and is shared across all windows of the sequence  INLINEFORM3 is an element-wise non-linear activation function  The convolution operation can capture local contextual dependencies of the input sequence and the extracted feature vectors are similar to INLINEFORM4 -grams  After the convolution operation is applied to the whole sequence, we obtain a list of hidden vectors INLINEFORM5   A max-over-time pooling layer is applied to obtain the final vector representation INLINEFORM6 of the input document 
Datasets and Experimental Settings
Existing benchmark datasets such as the Amazon benchmark BIBREF0 typically remove reviews with neutral labels in both domains  This is problematic as the label information of the target domain is not accessible in an unsupervised domain adaptation setting  Furthermore, removing neutral instances may bias the dataset favorably for max-margin-based algorithms like ours, since the resulting dataset has all uncertain labels removed, leaving only high confidence examples  Therefore, we construct new datasets by ourselves  The results on the original Amazon benchmark is qualitatively similar, and we present them in Appendix SECREF6 for completeness since most of previous works reported results on it 
Small-scale datasets: Our new dataset was derived from the large-scale Amazon datasets released by McAuley et al  ( BIBREF24 )  It contains four domains: Book (BK), Electronics (E), Beauty (BT), and Music (M)  Each domain contains two datasets  Set 1 contains 6000 instances with exactly balanced class labels, and set 2 contains 6000 instances that are randomly sampled from the large dataset, preserving the original label distribution, which we believe better reflects the label distribution in real life  The examples in these two sets do not overlap  Detailed statistics of the generated datasets are given in Table TABREF9  
In all our experiments on the small-scale datasets, we use set 1 of the source domain as the only source with sentiment label information during training, and we evaluate the trained model on set 1 of the target domain  Since we cannot control the label distribution of unlabeled data during training, we consider two different settings:
Setting (1): Only set 1 of the target domain is used as the unlabeled set  This tells us how the method performs in a condition when the target domain has a close-to-balanced label distribution  As we also evaluate on set 1 of the target domain, this is also considered as a transductive setting 
Setting (2): Set 2 from both the source and target domains are used as unlabeled sets  Since set 2 is directly sampled from millions of reviews, it better reflects real-life sentiment distribution 
Large-scale datasets: We further conduct experiments on four much larger datasets: IMDB (I), Yelp2014 (Y), Cell Phone (C), and Baby (B)  IMDB and Yelp2014 were previously used in BIBREF25 , BIBREF26   Cell phone and Baby are from the large-scale Amazon dataset BIBREF24 , BIBREF27   Detailed statistics are summarized in Table TABREF9   We keep all reviews in the original datasets and consider a transductive setting where all target examples are used for both training (without label information) and evaluation  We perform sampling to balance the classes of labeled source data in each minibatch INLINEFORM3 during training 
Selection of Development Set
Ideally, the development set should be drawn from the same distribution as the test set  However, under the unsupervised domain adaptation setting, we do not have any labeled target data at training phase which could be used as development set  In all of our experiments, for each pair of domains, we instead sample 1000 examples from the training set of the source domain as development set  We train the network for a fixed number of epochs, and the model with the minimum classification error on this development set is saved for evaluation  This approach works well on most of the problems since the target domain is supposed to behave like the source domain if the domain difference is effectively reduced 
Another problem is how to select the values for hyper-parameters  If we tune INLINEFORM0 and INLINEFORM1 directly on the development set from the source domain, most likely both of them will be set to 0, as unlabeled target data is not helpful for improving in-domain accuracy of the source domain  Other neural network models also have the same problem for hyper-parameter tuning  Therefore, our strategy is to use the development set from the target domain to optimize INLINEFORM2 and INLINEFORM3 for one problem (e g , we only do this on E INLINEFORM4 BK), and fix their values on the other problems  This setting assumes that we have at least two labeled domains such that we can optimize the hyper-parameters, and then we fix them for other new unlabeled domains to transfer to 
Training Details and Hyper-parameters
We initialize word embeddings using the 300-dimension GloVe vectors supplied by Pennington et al , ( BIBREF28 ), which were trained on 840 billion tokens from the Common Crawl  For each pair of domains, the vocabulary consists of the top 10000 most frequent words  For words in the vocabulary but not present in the pre-trained embeddings, we randomly initialize them 
We set hyper-parameters of the CNN encoder following previous works BIBREF22 , BIBREF4 without specific tuning on our datasets  The window size is set to 3 and the size of the hidden layer is set to 300  The nonlinear activation function is Relu  For regularization, we also follow their settings and employ dropout with probability set to 0 5 on INLINEFORM0 before feeding it to the output layer INLINEFORM1 , and constrain the INLINEFORM2 -norm of the weight vector INLINEFORM3 , setting its max norm to 3 
On the small-scale datasets and the Aamzon benchmark, INLINEFORM0 and INLINEFORM1 are set to 200 and 1, respectively, tuned on the development set of task E INLINEFORM2 BK under setting 1  On the large-scale datasets, INLINEFORM3 and INLINEFORM4 are set to 500 and 0 2, respectively, tuned on I INLINEFORM5 Y  We use a Gaussian curve INLINEFORM6 to ramp up the weight of the bootstrapping loss INLINEFORM7 from 0 to INLINEFORM8 , where INLINEFORM9 denotes the maximum number of training epochs  We train 30 epochs for all experiments  We set INLINEFORM10 to 3 and INLINEFORM11 to 0 5 for all experiments 
The batch size is set to 50 on the small-scale datasets and the Amazon benchmark  We increase the batch size to 250 on the large-scale datasets to reduce the number of iterations  RMSProp optimizer with learning rate set to 0 0005 is used for all experiments 
Models for Comparison
We compare with the following baselines:
(1) Naive: A non-domain-adaptive baseline with bag-of-words representations and SVM classifier trained on the source domain 
(2) mSDA BIBREF7 : This is the state-of-the-art method based on discrete input features  Top 1000 bag-of-words features are kept as pivot features  We set the number of stacked layers to 3 and the corruption probability to 0 5 
(3) NaiveNN: This is a non-domain-adaptive CNN trained on source domain, which is a variant of our model by setting INLINEFORM0 , INLINEFORM1 , and INLINEFORM2 to zeros 
(4) AuxNN BIBREF4 : This is a neural model that exploits auxiliary tasks, which has achieved state-of-the-art results on cross-domain sentiment classification  The sentence encoder used in this model is the same as ours 
(5) ADAN BIBREF16 : This method exploits adversarial training to reduce representation difference between domains  The original paper uses a simple feedforward network as encoder  For fair comparison, we replace it with our CNN-based encoder  We train 5 iterations on the discriminator per iteration on the encoder and sentiment classifier as suggested in their paper 
(6) MMD: MMD has been widely used for minimizing domain discrepancy on images  In those works BIBREF9 , BIBREF13 , variants of deep CNNs are used for encoding images and the MMDs of multiple layers are jointly minimized  In NLP, adding more layers of CNNs may not be very helpful and thus those models from image-related tasks can not be directly applied to our problem  To compare with MMD-based method, we train a model that jointly minimize the classification loss INLINEFORM0 on the source domain and MMD between INLINEFORM1 and INLINEFORM2   For computing MMD, we use a Gaussian RBF which is a common choice for characteristic kernel 
In addition to the above baselines, we also show results of different variants of our model  DAS as shown in Algorithm SECREF6 denotes our full model  DAS-EM denotes the model with only entropy minimization for semi-supervised learning (set INLINEFORM0 )  DAS-SE denotes the model with only self-ensemble bootstrapping for semi-supervised learning (set INLINEFORM1 )  FANN (feature-adaptation neural network) denotes the model without semi-supervised learning performed (set both INLINEFORM2 and INLINEFORM3 to zeros) 
Main Results
Figure FIGREF17 shows the comparison of adaptation results (see Appendix SECREF7 for the exact numerical numbers)  We report classification accuracy on the small-scale dataset  For the large-scale dataset, macro-F1 is instead used since the label distribution in the test set is extremely unbalanced  Key observations are summarized as follows  (1) Both DAS-EM and DAS-SE perform better in most cases compared with ADAN, MDD, and FANN, in which only feature adaptation is performed  This demonstrates the effectiveness of the proposed domain adaptive semi-supervised learning framework  DAS-EM is more effective than DAS-SE in most cases, and the full model DAS with both techniques jointly employed overall has the best performance  (2) When comparing the two settings on the small-scale dataset, all domain-adaptive methods generally perform better under setting 1  In setting 1, the target examples are balanced in classes, which can provide more diverse opinion-related features  However, when considering unsupervised domain adaptation, we should not presume the label distribution of the unlabeled data  Thus, it is necessary to conduct experiments using datasets that reflect real-life sentiment distribution as what we did on setting2 and the large-scale dataset  Unfortunately, this is ignored by most of previous works  (3) Word-embeddings are very helpful, as we can see even NaiveNN can substantially outperform mSDA on most tasks 
To see the effect of semi-supervised learning alone, we also conduct experiments by setting INLINEFORM0 to eliminate the effect of feature adaptation  Both entropy minimization and bootstrapping perform very badly in this setting  Entropy minimization gives almost random predictions with accuracy below 0 4, and the results of bootstrapping are also much lower compared to NaiveNN  This suggests that the feature adaptation component is essential  Without it, the learned target representations are less meaningful and discriminative  Applying semi-supervised learning in this case is likely to worsen the results 
Further Analysis
In Figure FIGREF23 , we show the change of accuracy with respect to the percentage of unlabeled data used for training on three particular problems under setting 1  The value at INLINEFORM0 denotes the accuracies of NaiveNN which does not utilize any target data  For DAS, we observe a nonlinear increasing trend where the accuracy quickly improves at the beginning, and then gradually stabilizes  For other methods, this trend is less obvious, and adding more unlabeled data sometimes even worsen the results  This finding again suggests that the proposed approach can better exploit the information from unlabeled data 
We also conduct experiments under a setting with a small number of labeled target examples available  Figure FIGREF27 shows the change of accuracy with respect to the number of labeled target examples added for training  We can observe that DAS is still more effective under this setting, while the performance differences to other methods gradually decrease with the increasing number of labeled target examples 
CNN Filter Analysis
In this subsection, we aim to better understand DAS by analyzing sentiment-related CNN filters  To do that, 1) we first select a list of the most related CNN filters for predicting each sentiment label (positive, negative neutral)  Those filters can be identified according to the learned weights INLINEFORM0 of the output layer INLINEFORM1   Higher weight indicates stronger relatedness  2) Recall that in our implementation, each CNN filter has a window size of 3 with Relu activation  We can thus represent each selected filter as a ranked list of trigrams with highest activation values 
We analyze the CNN filters learned by NaiveNN, FANN and DAS respectively on task E INLINEFORM0 BT under setting 1  We focus on E INLINEFORM1 BT for study because electronics and beauty are very different domains and each of them has a diverse set of domain-specific sentiment expressions  For each method, we identify the top 10 most related filters for each sentiment label, and extract the top trigrams of each selected filter on both source and target domains  Since labeled source examples are used for training, we find the filters learned by the three methods capture similar expressions on the source domain, containing both domain-invariant and domain-specific trigrams  On the target domain, DAS captures more target-specific expressions compared to the other two methods  Due to space limitation, we only present a small subset of positive-sentiment-related filters in Table TABREF34   The complete results are provided in Appendix SECREF8   From Table TABREF34 , we can observe that the filters learned by NaiveNN are almost unable to capture target-specific sentiment expressions, while FANN is able to capture limited target-specific words such as “clean” and “scent”  The filters learned by DAS are more domain-adaptive, capturing diverse sentiment expressions in the target domain 
Conclusion
In this work, we propose DAS, a novel framework that jointly performs feature adaptation and semi-supervised learning  We have demonstrated through multiple experiments that DAS can better leverage unlabeled data, and achieve substantial improvements over baseline methods  We have also shown that feature adaptation is an essential component, without which, semi-supervised learning is not able to function properly  The proposed framework could be potentially adapted to other domain adaptation tasks, which is the focus of our future studies 
Results on Amazon Benchmark
Most previous works BIBREF0 , BIBREF1 , BIBREF6 , BIBREF7 , BIBREF29 carried out experiments on the Amazon benchmark released by Blitzer et al  ( BIBREF0 )  The dataset contains 4 different domains: Book (B), DVDs (D), Electronics (E), and Kitchen (K)  Following their experimental settings, we consider the binary classification task to predict whether a review is positive or negative on the target domain  Each domain consists of 1000 positive and 1000 negative reviews respectively  We also allow 4000 unlabeled reviews to be used for both the source and the target domains, of which the positive and negative reviews are balanced as well, following the settings in previous works  We construct 12 cross-domain sentiment classification tasks and split the labeled data in each domain into a training set of 1600 reviews and a test set of 400 reviews  The classifier is trained on the training set of the source domain and is evaluated on the test set of the target domain  The comparison results are shown in Table TABREF37  
Numerical Results of Figure 
Due to space limitation, we only show results in figures in the paper  All numerical numbers used for plotting Figure FIGREF17 are presented in Table TABREF38   We can observe that DAS-EM, DAS-SE, and DAS all achieve substantial improvements over baseline methods under different settings 
CNN Filter Analysis Full Results
As mentioned in Section SECREF36 , we conduct CNN filter analysis on NaiveNN, FANN, and DAS  For each method, we identify the top 10 most related filters for positive, negative, neutral sentiment labels respectively, and then represent each selected filter as a ranked list of trigrams with the highest activation values on it  Table TABREF39 , TABREF40 , TABREF41 in the following pages illustrate the trigrams from the target domain (beauty) captured by the selected filters learned on E INLINEFORM0 BT for each method 
We can observe that compared to NaiveNN and FANN, DAS is able to capture a more diverse set of relevant sentiment expressions on the target domain for each sentiment label  This observation is consistent with our motivation  Since NaiveNN, FANN and other baseline methods solely train the sentiment classifier on the source domain, the learned encoder is not able to produce discriminative features on the target domain  DAS addresses this problem by refining the classifier on the target domain with semi-supervised learning, and the overall objective forces the encoder to learn feature representations that are not only domain-invariant but also discriminative on both domains 
Context 2: Introduction
In recent years, gender has become a hot topic within the political, societal and research spheres  Numerous studies have been conducted in order to evaluate the presence of women in media, often revealing their under-representation, such as the Global Media Monitoring Project BIBREF0  In the French context, the CSA BIBREF1 produces a report on gender representation in media on a yearly basis  The 2017 report shows that women represent 40% of French media speakers, with a significant drop during high-audience hours (6:00-8:00pm) reaching a value of only 29%  Another large scale study confirmed this trend with an automatic analysis of gender in French audiovisuals streams, highlighting a huge variation across type of shows BIBREF2 
Besides the social impact of gender representation, broadcast recordings are also a valuable source of data for the speech processing community  Indeed, automatic speech recognition (ASR) systems require large amount of annotated speech data to be efficiently trained, which leaves us facing the emerging concern about the fact that "AI artifacts tend to reflect the goals, knowledge and experience of their creators" BIBREF3  Since we know that women are under-represented in media and that the AI discipline has retained a male-oriented focus BIBREF4, we can legitimately wonder about the impact of using such data as a training set for ASR technologies  This concern is strengthened by the recent works uncovering gender bias in several natural language processing (NLP) tools such as BIBREF5, BIBREF6, BIBREF7, BIBREF8 
In this paper, we first highlight the importance of TV and radio broadcast as a source of data for ASR, and the potential impact it can have  We then perform a statistical analysis of gender representation in a data set composed of four state-of-the-art corpora of French broadcast, widely used within the speech community  Finally we question the impact of such a representation on the systems developed on this data, through the perspective of an ASR system 
From gender representation in data to gender bias in AI ::: On the importance of data
The ever growing use of machine learning in science has been enabled by several progresses among which the exponential growth of data available  The quality of a system now depends mostly on the quality and quantity of the data it has been trained on  If it does not discard the importance of an appropriate architecture, it reaffirms the fact that rich and large corpora are a valuable resource  Corpora are research contributions which do not only allow to save and observe certain phenomena or validate a hypothesis or model, but are also a mandatory part of the technology development  This trend is notably observable within the NLP field, where industrial technologies, such as Apple, Amazon or Google vocal assistants now reach high performance level partly due to the amount of data possessed by these companies BIBREF9 
Surprisingly, as data is said to be “the new oil", few data sets are available for ASR systems  The best known are corpora like TIMIT BIBREF10, Switchboard BIBREF11 or Fisher BIBREF12 which date back to the early 1990s  The scarceness of available corpora is justified by the fact that gathering and annotating audio data is costly both in terms of money and time  Telephone conversations and broadcast recordings have been the primary source of spontaneous speech used  Out of all the 130 audio resources proposed by LDC to train automatic speech recognition systems in English, approximately 14% of them are based on broadcast news and conversation  For French speech technologies, four corpora containing radio and TV broadcast are the most widely used: ESTER1 BIBREF13, ESTER2 BIBREF14, ETAPE BIBREF15 and REPERE BIBREF16  These four corpora have been built alongside evaluation campaigns and are still, to our knowledge, the largest French ones of their type available to date 
From gender representation in data to gender bias in AI ::: From data to bias
The gender issue has returned to the forefront of the media scene in recent years and with the emergence of AI technologies in our daily lives, gender bias has become a scientific topic that researchers are just beginning to address  Several studies revealed the existence of gender bias in AI technologies such as face recognition (GenderShades BIBREF17), NLP (word embeddings BIBREF5 and semantics BIBREF6) and machine translation (BIBREF18, BIBREF7)  The impact of the training data used within these deep-learning algorithms is therefore questioned 
Bias can be found at different levels as pointed out by BIBREF19  BIBREF20 defines bias as a skew that produces a type of harm  She distinguishes two types of harms that are allocation harm and representation harm  The allocation harm occurs when a system is performing better or worse for a certain group while representational harm contributes to the perpetuation of stereotypes  Both types of harm are the results of bias in machine learning that often comes from the data systems are trained on  Disparities in representation in our social structures is captured and reflected by the training data, through statistical patterns  The GenderShades study is a striking example of what data disparity and lack of representation can produce: the authors tested several gender recognition modules used by facial recognition tools and found difference in error-rate as high as 34 percentage points between recognition of white male and black female faces  The scarce presence of women and colored people in training set resulted in bias in performance towards these two categories, with a strong intersectional bias  As written by BIBREF21 "A data set may have many millions of pieces of data, but this does not mean it is random or representative  To make statistical claims about a data set, we need to know where data is coming from; it is similarly important to know and account for the weaknesses in that data " (p 668) 
Regarding ASR technology, little work has explored the presence of gender bias within the systems and no consensus has been reached  BIBREF22 found that speech recognizers perform better on female voice on a broadcast news and telephone corpus  They proposed several explanations to this observation, such as the larger presence of non-professional male speech in the broadcast data, implying a less prepared speech for these speakers or a more normative language and standard pronunciation for women linked to the traditional role of women in language acquisition and education  The same trend was observed by BIBREF23  More recently, BIBREF24 discovered a gender bias within YouTube's automatic captioning system but this bias was not observed in a second study evaluating Bing Speech system and YouTube Automatic Captions on a larger data set BIBREF8  However race and dialect bias were found  General American speakers and white speakers had the lowest error rate for both systems  If the better performance on General American speakers could be explained by the fact that they are all voice professionals, producing clear and articulated speech, but no explanation is provided for biases towards non-white speakers 
Gender bias in ASR technology is still an open research question as no clear answer has been reached so far  It seems that many parameters are to take into account to achieve a general agreement  As we established the importance of TV and radio broadcast as a source of data for ASR, and the potential impact it can have, the following content of this paper is structured as this: we first describe statistically the gender representation of a data set composed of four state-of-the-art corpora of French broadcast, widely used within the speech community, introducing the notion of speaker's role to refine our analysis in terms of voice professionalism  We then question the impact of such a representation on a ASR system trained on these data  BIBREF25
Methodology
This section is organized as follows: we first present the data we are working on  In a second time we explain how we proceed to describe the gender representation in our corpus and introduce the notion of speaker's role  The third subsection introduces the ASR system and metrics used to evaluate gender bias in performance 
Methodology ::: Data presentation
Our data consists of two sets used to train and evaluate our automatic speech recognition system  Four major evaluation campaigns have enabled the creation of wide corpora of French broadcast speech: ESTER1 BIBREF13, ESTER2 BIBREF14, ETAPE BIBREF15 and REPERE BIBREF16  These four collections contain radio and/or TV broadcasts aired between 1998 and 2013 which are used by most academic researchers in ASR  Show duration varies between 10min and an hour  As years went by and speech processing research was progressing, the difficulty of the tasks augmented and the content of these evaluation corpora changed  ESTER1 and ESTER2 mainly contain prepared speech such as broadcast news, whereas ETAPE and REPERE consists also of debates and entertainment shows, spontaneous speech introducing more difficulty in its recognition 
Our training set contains 27,085 speech utterances produced by 2,506 speakers, accounting for approximately 100 hours of speech  Our evaluation set contains 74,064 speech utterances produced by 1,268 speakers for a total of 70 hours of speech  Training data by show, medium and speech type is summarized in Table and evaluation data in Table   Evaluation data has a higher variety of shows with both prepared (P) and spontaneous (S) speech type (accented speech from African radio broadcast is also included in the evaluation set) 
Methodology ::: Methodology for descriptive analysis of gender representation in training data
We first describe the gender representation in training data  Gender representation is measured in terms of number of speakers, number of utterances (or speech turns), and turn lengths (descriptive statistics are given in Section SECREF16)  Each speech turn was mapped to its speaker in order to associate it with a gender 
As pointed out by the CSA report BIBREF1, women presence tends to be marginal within the high-audience hours, showing that women are represented but less than men and within certain given conditions  It is clear that a small number of speakers is responsible for a large number of speech turns  Most of these speakers are journalists, politicians, presenters and such, who are representative of a show  Therefore, we introduce the notion of speaker's role to refine our exploration of gender disparity, following studies which quantified women's presence in terms of role  Within our work, we define the notion of speaker role by two criteria specifying the speaker's on-air presence, namely the number of speech turns and the cumulative duration of his or her speaking time in a show  Based on the available speech transcriptions and meta-data, we compute for each speaker the number of speech turns uttered as well as their total length  We then use the following criteria to define speaker's role: a speaker is considered as speaking often (respectively seldom) if he/she accumulates a total of turns higher (respectively lower) than 1% of the total number of speech turns in a given show  The same process is applied to identify speakers talking for a long period from those who do not  We end up with two salient roles called Anchors and Punctual speakers:
the Anchor speakers (A) are above the threshold of 1% for both criteria, meaning they are intervening often and for a long time thus holding an important place in interaction;
the Punctual speakers (PS) on the contrary are below the threshold of 1% for both the total number of turns and the total speech time 
These roles are defined at the show level  They could be roughly assimilated to the categorization “host/guest” in radio and TV shows  Anchors could be described as professional speakers, producing mostly prepared speech, whereas Punctual speakers are more likely to be “everyday people"  The concept of speaker's role makes sense at both sociological and technical levels  An Anchor speaker is more likely to be known from the audience (society), but he or she will also likely have a professional (clear) way of speaking (as mentioned by BIBREF22 and BIBREF8), as well as a high number of utterances, augmenting the amount of data available for a given gender category 
Methodology ::: Gender bias evaluation procedure of an ASR system performance ::: ASR system
The ASR system used in this work is described in BIBREF25  It uses the KALDI toolkit BIBREF26, following a standard Kaldi recipe  The acoustic model is based on a hybrid HMM-DNN architecture and trained on the data summarized in Table   Acoustic training data correspond to 100h of non-spontaneous speech type (mostly broadcast news) coming from both radio and TV shows  A 5-gram language model is trained from several French corpora (3,323M words in total) using SRILM toolkit BIBREF27  The pronunciation model is developed using the lexical resource BDLEX BIBREF28 as well as automatic grapheme-to-phoneme (G2P) transcription to find pronunciation variants of our vocabulary (limited to 80K)  It is important to re-specify here, for further analysis, that our Kaldi pipeline follows speaker adaptive training (SAT) where we train and decode using speaker adapted features (fMLLR-adapted features) in per-speaker mode  It is well known that speaker adaptation acts as an effective procedure to reduce mismatch between training and evaluation conditions BIBREF29, BIBREF26 
Methodology ::: Gender bias evaluation procedure of an ASR system performance ::: Evaluation
Word Error Rate (WER) is a common metric to evaluate ASR performance  It is measured as the sum of errors (insertions, deletions and substitutions) divided by the total number of words in the reference transcription  As we are investigating the impact on performance of speaker's gender and role, we computed the WER for each speaker at the episode (show occurrence) level  Analyzing at such granularity allows us to avoid large WER variation that could be observed at utterance level (especially for short speech turns) but also makes possible to get several WER values for a given speaker, one for each occurrence of a show in which he/she appears on  Speaker's gender was provided by the meta-data and role was obtained using the criteria from Section SECREF6 computed for each show

ground_truth: Book, electronics, beauty, music, IMDB, Yelp, cell phone, baby, DVDs, kitchen

we use set 1 of the source domain as the only source with sentiment label information during training, and we evaluate the trained model on set 1 of the target domain, Book (BK), Electronics (E), Beauty (BT), and Music (M)

prompt_front: You are given a scientific article and a question. Answer the question as concisely as you can, using a single phrase or sentence if possible. If the question cannot be answered based on the information in the article, write "unanswerable". If the question is a yes/no question, answer "yes", "no", or "unanswerable". Do not provide any explanation.

Please answer the questions based on the text provided below. How big is imbalance in analyzed corpora?
Context 2:  This enables us to analyze our results across gender and role categories which was done using Wilcoxon rank sum tests also called Mann-Whitney U test (with $\alpha $= 0 001) BIBREF30  The choice of a Wilcoxon rank sum test and not the commonly used t-test is motivated by the non-normality of our data 
Results ::: Descriptive analysis of gender representation in training data ::: Gender representation
As expected, we observe a disparity in terms of gender representation in our data (see Table )  Women represent 33 16% of the speakers, confirming the figures given by the GMMP report BIBREF0  However, it is worth noticing that women account for only 22 57% of the total speech time, which leads us to conclude that women also speak less than men 
Results ::: Descriptive analysis of gender representation in training data ::: Speaker's role representation
Table presents roles' representation in training data and shows that despite the small number of Anchor speakers in our data (3 79%), they nevertheless concentrate 35 71 % of the total speech time 
Results ::: Descriptive analysis of gender representation in training data ::: Role and gender interaction
When crossing both parameters, we can observe that the gender distribution is not constant throughout roles  Women represent 29 47% of the speakers within the Anchor category, even less than among the Punctual speakers  Their percentage of speech is also smaller  When calculating the average speech time uttered by a female Anchor, we obtain a value of 15 9 min against 25 2 min for a male Anchor, which suggests that even within the Anchor category men tend to speak more  This confirms the existence of gender disparities within French media  It corroborates with the analysis of the CSA BIBREF1, which shows that women were less present during high-audience hours  Our study shows that they are also less present in important roles  These results legitimate our initial questioning on the impact of gender balance on ASR performance trained on broadcast recordings 
Results ::: Performance (WER) analysis on evaluation data ::: Impact of gender on WER
As explained in Section SECREF13, WER is the sum of errors divided by the number of words in the transcription reference  The higher the WER, the poorer the system performance  Our 70h evaluation data contains a large amount of spontaneous speech and is very challenging for the ASR system trained on prepared speech: we observe an overall average WER of 42 9% for women and 34 3% for men  This difference of WER between men and women is statistically significant (med(M) = 25%; med(F) = 29%; U = 709040; p-value < 0 001) 
However, when observing gender differences across shows, no clear trend can be identified, as shown in Figure FIGREF21  For shows like Africa1 Infos or La Place du Village, we find an average WER lower for women than for men, while the trend is reversed for shows such as Un Temps de Pauchon or Le Masque et la Plume  The disparity of the results depending on the show leads us to believe that other factors may be entangled within the observed phenomenon 
Results ::: Performance (WER) analysis on evaluation data ::: Impact of role on WER
Speaker's role seems to have an impact on WER: we obtain an average WER of 30 8% for the Anchor speakers and 42 23% for the Punctual speakers  This difference is statistically significant with a p-value smaller than $10^{-14}$ (med(A) = 21%; med(P) = 31%; U = 540,430; p-value < 0 001)  
Results ::: Performance (WER) analysis on evaluation data ::: Role and gender interaction
Figure FIGREF25 presents the WER distribution (WER being obtained for each speaker in a show occurrence) according to the speaker's role and gender  It is worth noticing that the gender difference is only significant within the Punctual speakers group  The average WER is of 49 04% for the women and 38 56% for the men with a p-value smaller than $10^{-6}$ (med(F) = 39%; med(M) = 29%; U = 251,450; p-value < 0 001), whereas it is just a trend between male and female Anchors (med(F) = 21%; med(M) = 21%; U = 116,230; p-value = 0 173)  This could be explained by the quantity of data available per speaker 
Results ::: Performance (WER) analysis on evaluation data ::: Speech type as a third entangled factor?
In order to try to explain the observed variation in our results depending on shows and gender (Figure FIGREF21), we add the notion of speech type to shed some light on our results  BIBREF22 and BIBREF24 suggested that the speaker professionalism, associated with clear and hyper-articulated speech could be an explaining factor for better performance 
Based on our categorization in prepared speech (mostly news reports) and spontaneous speech (mostly debates and entertainment shows), we cross this parameter in our performance analysis  As shown on Figure FIGREF26, these results confirm the inherent challenge of spontaneous speech compared to prepared speech  WER scores are similar between men and women when considering prepared speech (med(F) = 18%; med(M) = 21%; U = 217,160; p-value = 0 005) whereas they are worse for women (61 29%) than for men (46 51%) with p-value smaller than $10^{-14}$ for the spontaneous speech type (med(F) = 61%; med(M) = 37%; U = 153,580; p-value < 0 001) 
Discussion
We find a clear disparity in terms of women presence and speech quantity in French media  Our data being recorded between 1998 and 2013, we can expect this disparity to be smaller on more recent broadcast recordings, especially since the French government displays efforts toward parity in media representation  One can also argue that even if our analysis was conducted on a large amount of data it does not reach the exhaustiveness of large-scale studies such as the one of BIBREF2  Nonetheless it does not affect the relevance of our findings, because if real-world gender representation might be more balanced today, these corpora are still used as training data for AI systems 
The performance difference across gender we observed corroborates (on a larger quantity and variety of language data produced by more than 2400 speakers) the results obtained by BIBREF24 on isolated words recognition  However the following study on read speech does not replicate these results  Yet a performance degradation is observed across dialect and race BIBREF8  BIBREF22 found lower WER for women than men on broadcast news and conversational telephone speech for both English and French  The authors suggest that gender stereotypes associated with women role in education and language acquisition induce a more normative elocution  We observed that the higher the degree of normativity of speech the smaller the gender difference  No significant gender bias is observed for prepared speech nor within the Anchor category  Even if we do not find similar results with lower WER for women than men, we obtained a median WER smaller for women on prepared speech and equal to the male median WER for the Anchor speakers 
Another explanation could be the use of adaptation within the pipeline  Most broadcast programs transcription systems have a speaker adaptation step within their decoding pipeline, which is the case for our system  An Anchor speaker intervening more often would have a larger quantity of data to realize such adaptation of the acoustic model  On the contrary, Punctual speakers who appear scarcely in the data are not provided with the same amount of adaptation data  Hence we can hypothesize that gender performance difference observed for Punctual speakers is due to the fact that female speech is further from the (initial non-adapted) acoustic model as it was trained on unbalanced data (as shown in Table )  Considering that Punctual speakers represent 92 78% of the speakers, this explains why gender difference is significant over our entire data set  A way to confirm our hypothesis would be to reproduce our analysis on WER values obtained without using speaker adapted features at the decoding step 
When decoding prepared speech (hence similar to the training data), no significant difference is found in WER between men and women, revealing that the speaker adaptation step could be sufficient to reach same performance for both genders  But when decoding more spontaneous speech, there is a mismatch with the initial acoustic model (trained on prepared speech)  Consequently, the speaker adaptation step might not be enough to recover good ASR performance, especially for women for whom less adaptation data is available (see Section 4 2 3) 
Conclusion
This paper has investigated gender bias in ASR performance through the following research questions: i) what is the proportion of men and women in French radio and TV media data ? ii) what is the impact of the observed disparity on ASR performance ? iii) is this as simple as a problem of gender proportion in the training data or are other factors entangled ? Our contributions are the following:
Descriptive analysis of the broadcast data used to train our ASR system confirms the already known disparity, where 65% of the speakers are men, speaking more than 75% of the time 
When investigating WER scores according to gender, speaker's role and speech type, huge variations are observed  We conclude that gender is clearly a factor of variation in ASR performance, with a WER increase of 24% for women compared to men, exhibiting a clear gender bias 
Gender bias varies across speaker's role and speech spontaneity level  Performance for Punctual speakers respectively spontaneous speech seems to reinforce this gender bias with a WER increase of 27 2% respectively 31 8% between male and female speakers 
We found that an ASR system trained on unbalanced data regarding gender produces gender bias performance  Therefore, in order to create fair systems it is necessary to take into account the representation problems in society that are going to be encapsulated in the data  Understanding how women under-representation in broadcast data can lead to bias in ASR performances is the key to prevent re-implementing and reinforcing discrimination already existing in our societies  This is in line with the concept of “Fairness by Design" proposed by BIBREF31 
Gender, race, religion, nationality are all characteristics that we deem unfair to classify on, and these ethical standpoints needs to be taken into account in systems' design  Characteristics that are not considered as relevant in a given task can be encapsulated in data nonetheless, and lead to bias performance  Being aware of the demographic skews our data set might contain is a first step to track the life cycle of a training data set and a necessary step to control the tools we develop 
Context 3: Introduction
Natural Language Processing (NLP) has increasingly attracted the attention of the financial community  This trend can be explained by at least three major factors  The first factor refers to the business perspective  It is the economics of gaining competitive advantage using alternative sources of data and going beyond historical stock prices, thus, trading by analyzing market news automatically  The second factor is the major advancements in the technologies to collect, store, and query massive amounts of user-generated data almost in real-time  The third factor refers to the progress made by the NLP community in understanding unstructured text  Over the last decades the number of studies using NLP for financial forecasting has experienced exponential growth  According to BIBREF0 , until 2008, less than five research articles were published per year mentioning both “stock market” and “text mining” or “sentiment analysis” keywords  In 2012, this number increased to slightly more than ten articles per year  The last numbers available for 2016 indicates this has increased to sixty articles per year 
The ability to mechanically harvest the sentiment from texts using NLP has shed light on conflicting theories of financial economics  Historically, there has been two differing views on whether disagreement among market participants induces more trades  The “non-trade theorem” BIBREF1 states that assuming all market participants have common knowledge about a market event, the level of disagreement among the participants does not increase the number of trades but only leads to a revision of the market quotes  In contrast, the theoretically framework proposed in BIBREF2 advocates that disagreement among market participants increases trading volume  Using textual data from Yahoo and RagingBull com message boards to measure the dispersion of opinions (positive or negative) among traders, it was shown in BIBREF3 that disagreement among users' messages helps to predict subsequent trading volume and volatility  Similar relation between disagreement and increased trading volume was found in BIBREF4 using Twitter posts  Additionally, textual analysis is adding to the theories of medium-term/long-term momentum/reversal in stock markets BIBREF5   The unified Hong and Stein model BIBREF6 on stock's momentum/reversal proposes that investors underreact to news, causing slow price drifts, and overreact to price shocks not accompanied by news, hence inducing reversals  This theoretical predicated behaviour between price and news was systematically estimated and supported in BIBREF7 , BIBREF8 using financial media headlines and in BIBREF9 using the Consumer Confidence Index® published by The Conference Board BIBREF10   Similarly, BIBREF11 uses the Harvard IV-4 sentiment lexicon to count the occurrence of words with positive and negative connotation of the Wall Street Journal showing that negative sentiment is a good predictor of price returns and trading volumes 
Accurate models for forecasting both price returns and volatility are equally important in the financial domain  Volatility measures how wildly the asset is expected to oscillate in a given time period and is related to the second moment of the price return distribution  In general terms, forecasting price returns is relevant to take speculative positions  The volatility, on the other hand, measures the risk of these positions  On a daily basis, financial institutions need to assess the short-term risk of their portfolios  Measuring the risk is essential in many aspects  It is imperative for regulatory capital disclosures required by banking supervision bodies  Moreover, it is useful to dynamically adjust position sizing accordingly to market conditions, thus, maintaining the risk within reasonable levels 
Although, it is crucial to predict the short-term volatility from the financial markets application perspective, much of the current NLP research on volatility forecasting focus on the volatility prediction for very long-term horizons (see BIBREF12 , BIBREF13 , BIBREF14 , BIBREF15 , BIBREF16 )  Predominately, these works are built on extensions of the bag-of-words representation that has the main drawback of not capturing word order  Financial forecasting, however, requires the ability to capture semantics that is dependent upon word order  For example, the headline “Qualcomm sues Apple for contract breach” and “Apple sues Qualcomm for contract breach” trigger different responses for each stock and for the market aggregated index, however, they share the same bag-of-words representation  Additionally, these works use features from a pretrained sentiment analyis model to train the financial forecasting model  A key limitation of this process is that it requires a labelled sentiment dataset  Additionally, the error propagation is not end-to-end  In this work, we fill in the gaps of volatility prediction research in the following manner:
Related work
Previous work in BIBREF12 incorporates sections of the “Form 10-K” to predict the volatility twelve months after the report is released  They train a Support Vector Regression model on top of sparse representation (bag-of-words) with standard term weighting (e g  Term-Frequency)  This work was extended in BIBREF13 , BIBREF14 , BIBREF15 , BIBREF16 by employing the Loughran-McDonald Sentiment Word Lists BIBREF20 , which contain three lists where words are grouped by their sentiments (positive, negative and neutral)  In all these works, the textual representation is engineered using the following steps: 1) For each sentiment group, the list is expanded by retrieving 20 most similar words for each word using Word2Vec word embeddings BIBREF21   2) Finally, each 10-K document is represented using the expanded lists of words  The weight of each word in this sparse representation is defined using Information Retrieval (IR) methods such as term-frequency (tf) and term-frequency with inverted document frequency (tfidf)  Particularly, BIBREF16 shows that results can be improved using enhanced IR methods and projecting each sparse feature into a dense space using Principal Component Analysis (PCA) 
The works described above ( BIBREF13 , BIBREF14 , BIBREF15 , BIBREF16 ) target long-horizon volatility predictions (one year or quarterly BIBREF16 )  In particular, BIBREF16 and BIBREF15 uses market data (price) features along with the textual representation of the 10-K reports  These existing works that employ multi-modal learning BIBREF22 are based on a late fusion approach  For example, stacking ensembles to take into account the price and text predictions BIBREF16   In contrast, our end-to-end trained model can learn the joint distribution of both price and text 
Predicting the price direction rather than the volatility was the focus in BIBREF23   They extracted sentiment words from Twitter posts to build a time series of collective Profile of Mood States (POMS)  Their results show that collective mood accurately predicts the direction of Down Jones stock index (86 7% accuracy)  In BIBREF24 handcrafted text representations including term count, noun-phrase tags and extracted named entities are employed for predicting stock market direction using Support Vector Machine (SVM)  An extension of Latent Dirichlet Allocation (LDA) is proposed in BIBREF25 to learn a joint latent space of topics and sentiments 
Our deep learning models bear a close resemblance to works focused on directional price forecasting BIBREF26 , BIBREF27   In BIBREF26 , headline news are processed using Stanford OpenIE to generate triples that are fed into a Neural Tensor Network to create the final headline representation  In BIBREF27 , a character-level embedding is pre-trained in an unsupervised manner  The character embedding is used as input to a sequence model to learn the headline representation  Particularly, both works average all headline representations in a given day, rather than attempting to weight the most relevant ones  In this work, we propose a neural attention mechanism to capture the News Relevance and provide experimental evidence that it is a key component of the end-to-end learning process  Our attention extends the previous deep learning methods from BIBREF26 , BIBREF27  
Despite the fact that end-to-end deep learning models have attained state-of-the-art performance, the large number of parameters make them prone to overfitting  Additionally, end-to-end models are trained from scratch requiring large datasets and computational resources  Transfer learning (TL) alleviates this problem by adapting representations learnt from a different and potentially weakly related source domain to the new target domain  For example, in computer vision tasks the convolutional features learnt from ImageNet BIBREF28 dataset (source domain) have been successfully transferred to multiple domain target tasks with much smaller datasets such as object classification and scene recognition BIBREF29   In this work, we consider TL in our experiments for two main reasons  First, it address the question whether our proposed dataset is suitable for end-to-end training since the performance of the transferred representations can be compared with end-to-end learning  Second, it is still to be investigated which dataset transfers better to the forecasting problem  Recently, the NLP community has focused on universal representations of sentences BIBREF17 , BIBREF19 , which are dense representations that carry the meaning of a full sentence  BIBREF17 found that transferring the sentence representation trained on the Stanford Natural Language Inference (SNLI) BIBREF30 dataset achieves state-of-the-art sentence representations to multiple NLP tasks (e g  sentiment analysis, question-type and opinion polarity)  Following BIBREF17 , in this work, we investigate the suitability of SNLI and Reuters RCV1 BIBREF31 datasets to transfer learning to the volatility forecasting task  To the best of our knowledge, the hierarchical attention mechanism at headline level, proposed in our work, has not being applied to volatility prediction so far; neither has been investigated the ability to transfer sentence encoders from source datasets to the target forecasting problem (Transfer Learning) 
Our dataset
Our corpus covers a broad range of news including news around earnings dates and complements the 10-K reports content  As an illustration, the headlines “Walmart warns that strong U S  dollar will cost $15B in sales” and “Procter & Gamble Co raises FY organic sales growth forecast after sales beat” describe the company financial conditions and performance from the management point of view – these are also typical content present in Section 7 of the 10-K reports 
In this section, we describe the steps involved in compiling our dataset of financial news at stock level, which comprises a broad range of business sectors 
Sectors and stocks
The first step in compiling our corpus was to choose the constituents stocks  Our goal was to consider stocks in a broad range of sectors, aiming a diversified financial domain corpus  We found that Exchange Traded Funds (ETF) provide a mechanical way to aggregate the most relevant stocks in a given industry/sector  An ETF is a fund that owns assets, e g  stock shares or currencies, but, unlike mutual funds are traded in stock exchanges  These ETFs are extremely liquid and track different investment themes  We decided to use SPDR Setcor Funds constituents stocks in our work since the company is the largest provider of sector funds in the United States  We included in our analysis the top 5 (five) sector ETFs by financial trading volume (as in Jan/2018)  Among the most traded sectors we also filtered out the sectors that were similar to each other  For example, the Consumer Staples and Consumer Discretionary sectors are both part of the parent Consumer category  For each of the top 5 sectors we selected the top 10 holdings, which are deemed the most relevant stocks  tbl:stockuniverse, details our dataset sectors and its respective stocks 
Stock specific data
We assume that an individual stock news as the one that explicitly mention the stock name or any of its surface forms in the headline  As an illustration, in order to collect all news for the stock code PG, Procter & Gamble company name, we search all the headlines with any of these words: Procter&Gamble OR Procter and Gamble OR P&G  In this example, the first word is just the company name and the remaining words are the company surface forms 
We automatically derived the surface forms for each stock by starting with a seed of surface forms extracted from the DBpedia Knowledge Base (KB)  We then applied the following procedure:
Relate each company name with the KB entity unique identifier 
Retrieve all values of the wikiPageRedirects property  The property holds the names of different pages that points to the same entity/company name  This step sets the initial seed of surface forms 
Manually, filter out some noisy property values  For instance, from the Procter & Glamble entity page we were able to automatically extract dbr:Procter_and_gamble and dbr:P_&_G, but had to manually exclude the noisy associations dbr:Female_pads and dbr:California_Natural 
The result of the steps above is a dictionary of surface forms $wd_{sc}$  
Stock headlines
Our corpus is built at stock code level by collecting headlines from the Reuters Archive  This archive groups the headlines by date, starting from 1 January 2007  Each headline is a html link (<a href> tag) to the full body of the news, where the anchor text is the headline content followed by the release time  For example, the page dated 16 Dec 2016 has the headline “Procter & Gamble appoints Nelson Peltz to board 5:26PM UTC” 
For each of the 50 stocks (5 sectors times 10 stocks per sector) selected using the criteria described in sub:corpussecstock, we retrieved all the headlines from the Reuters Archive raging from 01/01/2007 to 30/12/2017  This process takes the following steps:
For a given stock code ( $sc$ ) retrieve all surface forms $wd_{sc}$  
For each day, store only the headlines content matching any word in $wd_{sc}$   For each stored headline we also store the time and timezone 
Convert the news date and time to Eastern Daylight Time (EDT) 
Categorize the news release time  We consider the following category set: {before market, during market , after market, holidays, weekends}  during market contains news between 9:30AM and 4:00PM  before market before 9:30AM and after market after 4:00PM 
The time categories prevents any misalignment between text and stock price data  Moreover, it prevents data leakage and, consequently, unrealistic predictive model performance  In general, news released after 4:00PM EDT can drastically change market expectations and the returns calculated using close to close prices as in the GARCH(1,1) model (see eq:closingreturn)  Following BIBREF3 , to deal with news misalignment, news issued after 4:00PM (after market) are grouped with the pre-market (before market) on the following trading day 
tbl:stocktimecat shows the distribution of news per sector for each time category  We can see a high concentration of news released before the market opens (55% on average)  In contrast, using a corpus compiled from message boards, a large occurrence of news during market hours was found BIBREF3   This behaviour indicating day traders' activity  Our corpus comprise financial news agency headlines, a content more focused on corporate events (e g  lawsuits, merges & acquisitions, research & development) and on economic news (see tbl:stockheadlinesexmaples for a sample of our dataset)  These headlines are mostly factual  On the other hand, user-generated content such as Twitter and message boards (as in BIBREF3 , BIBREF4 ) tends to be more subjective 
U S  macroeconomic indicators such as Retail Sales, Jobless Claims and GDP are mostly released around 8:30AM (one hour before the market opens)  These numbers are key drivers of market activity and, as such, have a high media coverage  Specific sections of these economic reports impact several stocks and sectors  Another factor that contribute to the high activity of news outside regular trading hours are company earnings reports  These are rarely released during trading hours  Finally, before the market opens news agencies provide a summary of the international markets developments, e g  the key facts during the Asian and Australian trading hours  All these factors contribute to the high concentration of pre-market news 
Background
We start this section by reviewing the GARCH(1,1) model, which is a strong benchmark used to evaluate our neural model  We then review the source datasets proposed in the literature that were trained independently and transfered to our volatility prediction model  Finally, we review the general architectures of sequence modelling and attention mechanisms 
GARCH model
Financial institutions use the concept of “Value at risk” to measure the expected volatility of their portfolios  The widespread econometric model for volatility forecasting is the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) BIBREF32 , BIBREF33   Previous research shows that the GARCH(1,1) model is hard to beat  For example, BIBREF34 compared GARCH(1,1) with 330 different econometric volatility models showing that they are not significantly better than GARCH(1,1)  Let $p_t$ be the price of an stock at the end of a trading period with closing returns $r_t$ given by
$$r_t = \frac{p_t}{p_{t-1}} - 1 $$   (Eq  29)
The GARCH process explicitly models the time-varying volatility of asset returns  In the GARCH(1,1) specification the returns series $r_t$ follow the process:
$$r_t &= \mu + \epsilon _t  \\ \epsilon _t &= \sigma _t z_t  \\ \sigma ^2_t &= a_0 + a_1 \epsilon _{t-1}^2 + b_1 \sigma _{t-1}^2$$   (Eq  30)
where $\mu $ is a constant (return drift) and $z_t$ is a sequence of i i d  random variables with mean zero and unit variance  It is worth noting that although the conditional mean return described in eq:garchcondmean has a constant value, the conditional volatility $\sigma _t$ is time-dependent and modeled by eq:att 
The one-step ahead expected volatility forecast can be computed directly from eq:garchcondvariance and is given by
$$E_T[\sigma _{T+1}^2] = a_0 + a_1 E_T[\epsilon ^2] + b_1 E_T[\sigma _{T}^2] $$   (Eq  32)
In general, the $t^{\prime }$ -steps ahead expected volatility $E_T[\sigma _{T+t^{\prime }}^2]$ can be easily expressed in terms of the previous step expected volatility  It is easy to prove by induction that the forecast for any horizon can be represented in terms of the one-step ahead forecast and is given by
$$E_T[\sigma _{T+t^{\prime }}^2] - \sigma _u^2 = (a_1 + b_1)^{(t^{\prime } -1)} \left(E_T[\sigma _{T+1}^2] - \sigma _u^2\right)$$   (Eq  33)
where $\sigma _u$ is the unconditional volatility:
$$\sigma _u = \sqrt{a_0 / (1 - a_1 - b_1)} $$   (Eq  34)
From the equation above we can see that for long horizons, i e  $t^\prime \rightarrow \infty $ , the volatility forecast in eq:forecastrecursive converges to the unconditional volatility in eq:unvar 
All the works reviewed in sec:introduction ( BIBREF12 , BIBREF13 , BIBREF14 , BIBREF15 , BIBREF16 ) consider GARCH(1,1) benchmark  However, given the long horizon of their predictions (e g  quarterly or annual), the models are evaluated using the unconditional volatility $\sigma _u$ in eq:unvar  In this work, we focus on the short-term volatility prediction and use the GARCH(1,1) one-day ahead conditional volatility prediction in eq:forecastoneperiod to evaluate our models 
Let $\sigma _{t+1}$ denote the ex-post “true” daily volatility at a given time $t$   The performance on a set with $N$ daily samples can be evaluated using the standard Mean Squared Error ( $MSE$ ) and Mean Absolute Error ( $MAE$ )
$$MSE &= \frac{1}{N} \sum _{t=1}^{N} \left( E_t[\sigma _{t+1}] - \sigma _{t+1}\right)^2  \\ MAE &= \frac{1}{N} \sum _{t=1}^{N}\left|E_t[\sigma _{t+1}] - \sigma _{t+1} \right|$$   (Eq  36)
Additionally, following BIBREF35 , the models are also evaluated using the coefficient of determination $R^2$ of the regression
$$\sigma _{t+1} = a + b E_t[\sigma _{t+1}] + e_t$$   (Eq  37)
where
$$R^2 = 1 - \frac{\sum _{t=1}^{N}e^{2}_{t}}{\sum _{t=1}^{N}\left(E_t[\sigma _{t+1}] - \frac{1}{N} \sum _{t=1}^{N}E_t[\sigma _{t+1}]\right)^{2}}$$   (Eq  38)
One of the challenges in evaluating GARCH models is the fact that the ex-post volatility $\sigma _{t+1}$ is not directly observed  Apparently, the squared daily returns $r_{t+1}^{2}$ in eq:closingreturn could stand as a good proxy for the ex-post volatility  However, the squared returns yield very noisy measurements  This is a direct consequence of the term $z^t$ that connects the squared return to the latent volatility factor in eq:garchwhitenoise  The use of intraday prices to estimate the ex-post daily volayility was first proposed in BIBREF35   They argue that volatility estimators using intraday prices is the proper way to evaluate the GARCH(1,1) model, as opposed to squared daily returns  For example, considering the Deutsche Mark the GARCH(1,1) model $R^2$ improves from $0 047$ (squared returns) to $0 33$ (intraday returns) BIBREF35  
It is clear from the previous section that any volatility model evaluation using the noisy squared returns as the ex-post volatility proxy will lead to very poor performance  Therefore, high-frequency intraday data is fundamental to short-term volatility performance evaluation  However, intraday data is difficult to acquire and costly  Fortunately, there are statistically efficient daily volatility estimators that only depend on the open, high, low and close prices  These price “ranges” are widely available  In this section, we discuss these estimators 
Let $O_t$ , $H_t$ , $L_t$ , $C_t$ be the open, high, low and close prices of an asset in a given day $t$   Assuming that the daily price follows a geometric Brownian motion with zero drift and constant daily volatility $\sigma $ , Parkinson (1980) derived the first daily volatility estimator
$$\widehat{\sigma _{PK,t}^2} = \frac{\ln \left(\frac{H_t}{L_t}\right)^2}{4\ln (2)} $$   (Eq  41)
which represents the daily volatility in terms of its price range  Hence, it contains information about the price path  Given this property, it is expected that $\sigma _{PK}$ is less noisy than the volatility calculated using squared returns  The Parkinson's volatility estimator was extended by Garman-Klass (1980) which incorporates additional information about the opening ( $O_t$ ) and closing ( $C_t$ ) prices and is defined as
$$\widehat{\sigma _{GK,t}^{2}} = \frac{1}{2} \ln \left(\frac{H_t}{L_t}\right)^2 - (2\ln (2) - 1) \ln \left(\frac{C_t}{O_t}\right)^2 $$   (Eq  42)
The relative noisy of different estimators $\hat{\sigma }$ can be measured in terms of its relative efficiency to the daily volatility $\sigma $ and is defined as
$$e\left(\widehat{\sigma ^{2}}, \sigma ^2\right) \equiv \frac{Var[\sigma ^2]}{Var[\widehat{\sigma ^{2}}]}$$   (Eq  43)
where $Var[\cdot ]$ is the variance operator  It follows directly from eq:garchwhitenoise that the squared return has efficiency 1 and therefore, very noisy  BIBREF36 reports Parkinson ( $\widehat{\sigma _{PK,t}^2}$ ) volatility estimator has 4 9 relative efficiency and Garman-Klass ( $\widehat{\sigma _{GK,t}^2}$ ) 7 4  Additionally, all the described estimators are unbiased 
Many alternative estimators to daily volatility have been proposed in the literature  However, experiments in BIBREF36 rate the Garman-Klass volatility estimator as the best volatility estimator based only on open, high, low and close prices  In this work, we train our models to predict the state-of-the-art Garman-Klass estimator  Moreover, we evaluate our models and GARCH(1,1) using the metrics described in sub:evalution, but with the appropriate volatility proxies, i e  Parkinson and Garman-Klass estimators 
Transfer Learning from other source domains
Vector representations of words, also known as Word embeddings BIBREF21 , BIBREF37 , that represent a word as a dense vector has become the standard building blocks of almost all NLP tasks  These embeddings are trained on large unlabeled corpus and are able to capture context and similarity among words 
Some attempts have been made to learn vector representations of a full sentence, rather than only a single word, using unsupervised approaches similar in nature to word embeddings  Recently, BIBREF17 showed state-of-the-art performance when a sentence encoder is trained end-to-end on a supervised source task and transferred to other target tasks  Inspired by this work, we investigate the performance of sentence encoders trained on the Text categorization and Natural Language Inference (NLI) tasks and use these encoders in our main short-term volatility prediction task 
A generic sentence encoder $S_e$ receives the sentence words as input and returns a vector representing the sentence  This can be expressed as a mapping
$$S_e \colon \mathbb {R}^{T^{S} \times d_w} \rightarrow \mathbb {R}^{d_S}$$   (Eq  45)
from a variable size sequence of words to a sentence vector $S$ of fixed-size $d_S$ , where $T^{S}$ is the sentence number of words and $d_w$ is the pre-trained word embedding dimension 
In the following sections, we describe the datasets and architectures to train the sentence encoders of the auxiliary transfer learning tasks 
The Reuters Corpus Volume I (RCV1) is corpus containing 806,791 news articles in the English language collected from 20/08/1996 to 19/08/1997 BIBREF31   The topic of each news was human-annotated using a hierarchical structure  At the top of the hierarchy, lies the coarse-grained categories: CCAT (Corporate), ECAT (Economics), GCAT (Government), and MCAT (Markets)  A news article can be assigned to more than one category meaning that the text categorization task is mutilabel  Each news is stored in a separate XML file  lst:rcv1xmlexample shows the typical structure of an article 
<?xml version="1 0" encoding="iso-8859-1" ?>
<newsitem itemid="6159" id="root" date="1996-08-21" xml:lang="en">
<headline>Colombia raises internal coffee price </headline>
<dateline>BOGOTA 1996-08-21</dateline>
<copyright>(c) Reuters Limited 1996</copyright>
<metadata>
<codes class="bip:topics:1 0">
<code code="C13">
<editdetail attribution="Reuters BIP Coding Group" action="confirmed" date="1996-08-21"/>
</code>
<code code="C31">
<editdetail attribution="Reuters BIP Coding Group" action="confirmed" date="1996-08-21"/>
</code>
<code code="CCAT">
<editdetail attribution="Reuters BIP Coding Group" action="confirmed" date="1996-08-21"/>
</code>
<code code="M14">
<editdetail attribution="Reuters BIP Coding Group" action="confirmed" date="1996-08-21"/>
</code>
<code code="M141">
<editdetail attribution="Reuters BIP Coding Group" action="confirmed" date="1996-08-21"/>
</code>
<code code="MCAT">
<editdetail attribution="Reuters BIP Coding Group" action="confirmed" date="1996-08-21"/>
</code>
</codes>
</metadata>
</newsitem>
The RCV1 dataset is not released with a standard train, validation, test split  In this work, we separated 15% of samples as a test set for evaluation purposes  The remaining samples were further split leaving 70% and 15% for training and validation, respectively 
Regarding the categories distribution, we found that, from the original 126 categories, 23 categories were never assigned to any news; therefore, were disregarded  From the 103 classes left we found a high imbalance among the labels with a large number of underrepresented categories having less than 12 samples  The very low number of samples for these minority classes brings a great challenge to discriminate the very fine-grained categories  Aiming to alleviate this problem, we grouped into a same class all categories below the second hierarchical level  For example, given the root node CCAT (Corporate) we grouped C151 (ACCOUNTS/EARNINGS), C1511 (ANNUAL RESULTS) and C152 (COMMENT/FORECASTS) into the direct child node C15 (PERFORMANCE)  Using this procedure the original 103 categories where reduced to 55  One of the benefits of this procedure was that the less represented classes end up having around thousand samples compared with only 12 samples in the original dataset 
fig:rcv1arch, shows the architecture for the end-to-end text categorization task  On the bottom of the architecture $S_e$ receives word embeddings and outputs a sentence vector $S$   The $S$ vector pass through a fully connected (FC) layer with sigmoid activation function that outputs a vector $\hat{y} \in \mathbb {R}^{55}$ with each element $\hat{y}_j \in [0,1]$  
The architecture described above is trained under the assumption that each category is independent but not mutually exclusive since a sample can have more than one category assigned (multilabel classification)  The loss per sample is the average log loss across all labels:
$$\mathcal {L}(\hat{y}, y) = - \sum _{i=1}^{55}\left( y_i \log (\hat{y}_i) + (1-y_{i}) \log (1-\hat{y}_{i}) \right)$$   (Eq  48)
where the index $i$ runs over the elements of the predicted and true vectors 
Given the high categories imbalance, during the training we monitor the $F_1$ metric of the validation set and choose the model with the highest value 
Stanford Natural Language Inference (SNLI) dataset BIBREF30 consist of 570,000 pairs of sentences  Each pair has a premise and a hypothesis, manually labeled with one of the three labels: entailment, contradiction, or neutral  The SNLI has many desired properties  The labels are equally balanced, as opposed to the RCV1 dataset  Additionally, language inference is a complex task that requires a deeper understanding of the sentence meaning making this dataset suitable for learning supervised sentence encoders that generalize well to other tasks BIBREF17   tbl:snliexmaples, shows examples of SNLI dataset sentence pairs and its respective labels 
In order to learn sentence encoders that can be transfered to other tasks unambiguously, we consider a neural network architecture for the sentence encoder with shared parameters between the premise and hypothesis pairs as in BIBREF17  
fig:snliarch, describes the neural network architecture  After each premise and hypothesis is encoded into $S_p$ and $S_h$ , respectively, we have a fusion layer  This layer has no trainable weights and just concatenate each sentence embedding  Following BIBREF17 , we add two more matching methods: the absolute difference $\vert S_p - S_h \vert $ and the element-wise $S_p \odot S_h$   Finally, in order to learn the pair representation, $S_ph$ is feed into and FC layer with rectified linear unit (ReLU) activation function, which is expressed as $f(x) = \log (1 + e^x)$   The last softmax layer outputs the probability of each class 
Finally, the NLI classifier weights are optimized in order to minimize the categorical log loss per sample
$$\mathcal {L}(\hat{y}, y) = - \sum _{j=1}^{3}y_i \log (\hat{y}_i)$$   (Eq  52)
During the training, we monitor the validation set accuracy and choose the model with the highest metric value 
Sequence Models
We start this section by reviewing the Recurrent Neural Network (RNN) architecture and its application to encode a sequence of words 
RNN's are capable of handling variable-length sequences, this being a direct consequence of its recurrent cell, which shares the same parameters across all sequence elements  In this work, we adopt the Long Short-Term Memory (LSTM) cell BIBREF38 with forget gates $f_t$ BIBREF39   The LSTM cell is endowed with a memory state that can learn representations that depend on the order of the words in a sentence  This makes LSTM more fit to find relations that could not be captured using standard bag-of-words representations 
Let $x_1, x_2, \cdots , x_T$ be a series of observations of length $T$ , where $x_t \in \mathbb {R}^{d_w}$   In general terms, the LSTM cell receives a previous hidden state $h_{t-1}$ that is combined with the current observation $x_t$ and a memory state $C_t$ to output a new hidden state $h_t$   This internal memory state $C_{t}$ is updated depending on its previous state and three modulating gates: input, forget, and output  Formally, for each step $t$ the updating process goes as follows (see fig:lstmcell for a high level schematic view): First, we calculate the input $i_t$ , forget $T$0 , and output $T$1 gates:
$$i_t &= \sigma _s\left(W_i x_t + U_i h_{t-1} + b_i\right) \\ f_t &= \sigma _s\left(W_f x_t + U_f h_{t-1} + b_f\right) \\ o_t &= \sigma _s\left(W_o x_t + U_o h_{t-1} + b_o\right)$$   (Eq  54)
where $\sigma _s$ is the sigmoid activation

ground_truth: Women represent 33.16% of the speakers

prompt_front: You are given a scientific article and a question. Answer the question as concisely as you can, using a single phrase or sentence if possible. If the question cannot be answered based on the information in the article, write "unanswerable". If the question is a yes/no question, answer "yes", "no", or "unanswerable". Do not provide any explanation.

Please answer the questions based on the text provided below. Which stock market sector achieved the best performance?
Context 3:  Second, a candidate memory state $\widetilde{C}_t$ is generated:
$$\widetilde{C}_t = \tanh \left(W_c x_t + U_c h_{t-1} + b_c\right)$$   (Eq  55)
Now we are in a position to set the final memory state $C_t$   Its value is modulated based on the input and forget gates of eq:inputforgetgates and is given by:
$$C_t = i_t \odot \widetilde{C}_t + f_t \odot C_{t-1}$$   (Eq  56)
Finally, based on the memory state and output gate of eq:inputforgetgates, we have the output hidden state
$$h_t = o_t \odot \tanh \left(C_t\right)$$   (Eq  57)
Regarding the trainable weights, let $n$ be the LSTM cell number of units  It follows that $W$ 's and $U$ 's matrices of the affine transformations have ${n \times d_w}$ and ${n \times n}$ dimensions, respectively  Its bias terms $b$ 's are vectors of size $n$   Consequently, the total number of parameters is $4 (n d_w + n^2 + n)$ and does not depend on the sequence number of time steps $T$  
We see that the LSTM networks are able to capture temporal dependencies in sequences of arbitrary length  One straightforward application is to model the Sentence encoder discussed in sec:transferlearning, which outputs a sentence vector representation using its words as input 
Given a sequence of words $\left\lbrace w_t\right\rbrace _{t=1}^{T}$ we aim to learn the words hidden state $\left\lbrace h_t\right\rbrace _{t=1}^{T}$ in a way that each word captures the influence of its past and future words  The Bidirectional LSTM (BiLSTM) proposed in BIBREF40 is an LSTM that “reads” a sentence, or any sequence in general, from the beginning to the end (forward) and the other way around (backward)  The new state $h_t$ is the concatenation
$$h_t = [\overrightarrow{h_t}, \overleftarrow{h_t}]$$   (Eq  59)
where
$$\overrightarrow{h_t} &= \text{LSTM}\left(w_1, \cdots , w_T\right) \\ \overleftarrow{h_t} &= \text{LSTM}\left(w_T, \cdots , w_1\right) \\$$   (Eq  60)
Because sentences have different lengths, we need to convert the $T$ concatenated hidden states of the BiLSTM into a fixed-length sentence representation  One straightforward operation is to apply any form of pooling  Attention mechanism is an alternative approach where the sentence is represented as an weighted average of hidden states where the weights are learnt end-to-end 
In the next sections we describe the sentence encoders using pooling and attention layers 
The max-pooling layer aims to extract the most salient word features all over the sentence  Formally, it outputs a sentence vector representation $S_{MP} \in \mathbb {R}^{2n}$ such that
$$S_{MP} = \max _{t=1}^{T} h_t$$   (Eq  62)
where $h_t$ is defined in eq:htconcat and the $\max $ operator is applied over the time steps dimension  fig:bilstmmaxpool illustrates the BiLSTM max-pooling (MP) sentence encoder 
The efficacy of the max-pooling layer was assessed in many NLP studies  BIBREF41 employed a max-pooling layer on top of word representations and argues that it performs better than mean pooling  Experimental results in BIBREF17 show that among three types of pooling (max, mean and last) the max-pooling provides the most universal sentence representations in terms of transferring performance to other tasks  Grounded on these studies, in this work, we choose the BiLSTM max-pooling as our pooling layer of choice 
Attention mechanisms were introduced in the deep learning literature to overcome some simplifications imposed by pooling operators  When we humans read a sentence, we are able to spot its most relevant parts in a given context and disregard information that is redundant or misleading  The attention model aims to mimic this behaviour 
Attention layers were proposed for different NLP tasks  For example, NLI, with cross-attention between premise and hypothesis, Question & Answering and Machine Translation (MT)  Specifically in the Machine Translation task, each word in the target sentence learns to attend the relevant words of the source sentence in order to generate the sentence translation 
A sentence encoder with attention (or self-attentive) BIBREF42 , BIBREF43 , BIBREF44 assigns different weights to the own words of the sentence; therefore, converting the hidden states into a single sentence vector representation 
Considering the word hidden vectors set $\lbrace h_1, \cdots , h_T\rbrace $ where $h_t \in \mathbb {R}^n$ , the attention mechanism is defined by the equations:
$$\tilde{h}_t &= \sigma \left(W h_t + b \right) \\ \alpha _{t} &= \frac{\exp ({v^{\intercal } \cdot \tilde{h}_t} )}{\sum _{t} \exp ({v \cdot \tilde{h}_t})} \\ S_{A_w} &= \sum _{t} \alpha _{t} h_t$$   (Eq  66)
where $W \in \mathbb {R}^{d_a \times n}$ , $b \in \mathbb {R}^{d_a \times 1}$ , and $v \in \mathbb {R}^{d_a \times 1}$ are trainable parameters 
We can see that the sentence representation $S_{A_w}$ is a weighted average of the hidden states  fig:bilstminneratt provides a schematic view of the BiLSTM attention, where we can account the attention described in eq:att as a two layer model with a dense layer ( $d_a$ units) followed by another dense that predicts $\alpha _t$ (single unit) 
Methodology
In this section, we first introduce our problem in a deep multimodal learning framework  We then present our neural architecture, which is able to address the problems of news relevance and novelty  Finally, we review the methods applied to learn commonalities between stocks (global features) 
Problem statement
Our problem is to predict the daily stock volatility  As discussed in subsub:rangevolestimators, the Gaman-Klass estimator $\widehat{\sigma _{GK,t}}$ in eq:volgk is a very efficient short-term volatility proxy, thus, it is adopted as our target variable 
Our goal is to learn a mapping between the next day volatility $\sigma _{t+1}$ and historical multimodal data available up to day $t$   To this aim, we use a sliding window approach with window size $T$   That is, for each stock $sc$ a sample on day $t$ is expressed as a sequence of historical prices $P^{sc}_t$ and corpus headlines $N^{sc}_t$   The price sequence is a vector of Daily Prices (DP) and expressed as
$$P^{sc}_t = \left[DP^{sc}_{t-T}, DP^{sc}_{t-T+1}, \cdots , DP^{sc}_t \right]$$   (Eq  69)
where $DP^{sc}_{t^{\prime }}$ is a vector of price features  In order to avoid task-specific feature engineering, the daily price features are expressed as the simple returns:
$$DP^{sc}_t = \left[ \frac{O^{sc}_{t}}{C^{sc}_{t-1}} - 1, \frac{H^{sc}_{t}}{C^{sc}_{t-1}} - 1, \frac{L^{sc}_{t}}{C^{sc}_{t-1}} - 1, \frac{C^{sc}_{t}}{C^{sc}_{t-1}} - 1 \right]$$   (Eq  70)
The sequence of historical corpus headlines $N^{sc}_t$ is expressed as
$$N^{sc}_t = \left[n^{sc}_{t-T}, n^{sc}_{t-T+1}, \cdots , n^{sc}_{t} \right]$$   (Eq  71)
where $n^{sc}_{t^{\prime }}$ is a set containing all headlines that influence the market on a given day $t^{\prime }$  
Aiming to align prices and news modes, we consider the explicit alignment method discussed in subsec:stockheadlines  That is, $n^{sc}_{t^{\prime }}$ contains all stock headlines before the market opens ( $\texttt {before market}_{t}$ ), during the trading hours
( $\texttt {during market}_{t}$ ), and previous day after-markets
( $\texttt {after market}_{t-1}$ ) 
As a text preprocessing step, we tokenize the headlines and convert each word to an integer that refers to its respective pre-trained word embedding  This process is described as follows: First, for all stocks of our corpus we tokenize each headline and extract the corpus vocabulary set $V$   We then build the embedding matrix $E_w \in \mathbb {R}^{\vert V \vert \times d_w}$ , where each row is a word embedding vector $d_w$ dimensions  Words that do not have a corresponding embedding, i e  out of vocabulary words, are skipped 
Finally, the input sample of the text mode is a tensor of integers with $T \times l_n \times l_s$ dimensions, where $l_n$ is the maximum number of news occurring in a given day and $l_s$ is the maximum length of a corpus sentence  Regarding the price mode, we have a $T \times 4$ tensor of floating numbers 
Global features and stock embedding
Given the price and news histories for each stock $sc$ we could directly learn one model per stock  However, this approach suffers from two main drawbacks  First, the market activity of one specific stock is expected to impact other stocks, which is a widely accepted pattern named “spillover effect”  Second, since our price data is sampled on a daily basis, we would train the stock model relying on a small number of samples  One possible solution to model the commonality among stocks would be feature enrichment  For example, when modeling a given stock $X$ we would enrich its news and price features by concatenating features from stock $Y$ and $Z$   Although the feature enrichment is able to model the effect of other stocks, it still would consider only one sample per day 
In this work, we propose a method that learns an global model 
The global model is implemented using the following methods:
Multi-Stock batch samples: Since our models are trained using Stochastic Gradient Descent, we propose at each mini-batch iteration to sample from a batch set containing any stock of our stocks universe  As a consequence, the mapping between volatility and multimodal data is now able to learn common explanatory factors among stocks  Moreover, adopting this approach increases the total number of training samples, which is now the sum of the number of samples per stock 
Stock Embedding: Utilizing the Multi-Stock batch samples above, we tackle the problem of modeling commonality among stocks  However, it is reasonable to assume that stocks have part of its dynamic driven by idiosyncratic factors  Nevertheless, we could aggregate stocks per sector or rely on any measure of similarity among stocks  In order to incorporate information specific to each stock, we propose to equip our model with a “stock embedding” mode that is learnt jointly with price and news modes  That is to say, we leave the task of distinguishing the specific dynamic of each stock to be learnt by the neural network  Specifically, this stock embedding is modeled using a discrete encoding as input, i e  $\mathcal {I}^{sc}_t$ is a vector with size equal to the number of stocks of the stocks universe and has element 1 for the i-th coordinate and 0 elsewhere, thus, indicating the stock of each sample 
Formally, we can express the one model per stock approach as the mapping
$$\begin{split} \sigma ^{sc}_{t+1} = f^{sc} ( DN^{sc}_{t-T}, DN^{sc}_{t-T+1}, \cdots , DN^{sc}_t ; \\ DP^{sc}_{t-T}, DP^{sc}_{t-T+1}, \cdots , DP^{sc}_t ) \end{split}$$   (Eq  75)
where $DN^{sc}_{t^{\prime }}$ is a fixed-vector representing all news released on a given day for the stock $sc$ and $DP^{sc}_{t^{\prime }}$ is defined in eq:pricemodevec 
The global model attempts to learn a single mapping $f$ that at each mini-batch iteration randomly aggregates samples across all the universe of stocks, rather than one mapping $f^{sc}$ per stock  The global model is expressed as
$$\begin{split} \sigma ^{sc}_{t+1} = f ( DN^{sc}_{t-T}, DN^{sc}_{t-T+1}, \cdots , DN^{sc}_t ; \\ DP^{sc}_{t-T}, DP^{sc}_{t-T+1}, \cdots , DP^{sc}_t ; \\ \mathcal {I}^{sc}_t) \end{split}$$   (Eq  77)
In the next section, we describe our hierarchical neural model and how the news, price and stock embedding are fused into a joint representation 
Our multimodal hierarchical network
In broad terms, our hierarchical neural architecture is described as follows  First, each headline released on a given day $t$ is encoded into a fixed-size vector $S_t$ using a sentence encoder  We then apply our daily New Relevance Attention (NRA) mechanism that attends each news based on its content and converts a variable size of news released on a given day into a single vector denoted by Daily News ( $DN$ )  We note that this representation take account of the overall effect of all news released on a given day  This process is illustrated in fig:DNencoder  We now are in a position to consider the temporal effect of the past $T$ days of market news and price features  fig:nntimeseriesarch illustrates the neural network architecture from the temporal sequence to the final volatility prediction  For each stock code $sc$ the temporal encoding for news is denoted by Market News $MN^{sc}_t$ and for the price by Market Price $MP^{sc}_t$ and are a function of the past $T$ Daily News representations ${\lbrace DN^{sc}_{t-T}, \cdots , DN^{sc}_t \rbrace }$ (Text mode) and Daily Prices features $S_t$0 (Price mode), where each Daily Price $S_t$1 feature is given by eq:pricemodevec and the $S_t$2 representation is calculated using Daily New Relevance Attention  After the temporal effects of $S_t$3 past days of market activity were already encoded into the Market News $S_t$4 and Market Price $S_t$5 , we concatenate feature-wise $S_t$6 , $S_t$7 and the Stock embedding $S_t$8   The stock embedding $S_t$9 represents the stock code of the sample on a given day $t$   Finally, we have a Fully Connected (FC) layer that learns the Joint Representation of all modes  This fixed-sized joint representation is fed into a FC layer with linear activation that predicts the next day volatility $\hat{\sigma }_{t+1}$  
Below, we detail, for each mode separately, the layers of our hierarchical model 
– Text mode
Word Embedding Retrieval
Standard embedding layer with no trainable parameters  It receives a vector of word indices as input and returns a matrix of word embeddings 
News Encoder
This layer encodes all news on a given day and outputs a set news embeddings $\lbrace S^{1}_t, \cdots , S^{l_n}_t \rbrace $   Each encoded sentence has dimension $d_S$ , which is a hyperparameter of our model  This layer constitutes a key component of our neural architectures and, as such, we evaluate our models considering sentence encoders trained end-to-end, using the BiLSTM attention (subsec:bilstminneratt) and BiLSTM max-pooling (subsec:bilstmmaxpool) architectures, and also transferred from the RCV1 and SNLI as fixed features 
Daily news relevance attention
Our proposed news relevance attention mechanism for all news released on a given day  The attention mechanism is introduced to tackle information overload  It was designed to “filter out” redundant or misleading news and focus on the relevant ones based solely on the news content  Formally, the layer outputs a Daily News (DN) embedding $DN^{sc}_t = \sum _{i=1}^{l_n} \beta _i S^{sc^{i}}_t$ , which is a linear combination of all encoded news on a given day $t$   This news-level attention uses the same equations as in eq:att, but with trainable weights $\lbrace W_{R}, b_{R}, v_{R}\rbrace $ , i e  the weights are segregated from the sentence encoder  fig:DNencoder, illustrates our relevance attention  Note that this layer was deliberately developed to be invariant to headlines permutation, as is the case with the linear combination formula above  The reason is that our price data is sampled daily and, as a consequence, we are not able to discriminate the market reaction for each intraday news 
News Temporal Context
Sequence layer with daily news embeddings $DN^{sc}_t$ as time steps  This layer aims to learn the temporal context of news, i e  the relationship between the news at day $t$ and the $T$ past days  It receives as input a chronologically ordered sequence of $T$ past Daily News embeddings ${\lbrace DN^{sc}_{t-T}, \cdots , DN^{sc}_t \rbrace }$ and outputs the news mode encoding Market News $MN^{sc}_t \in d_{MN}$   The sequence with $T$ time steps is encoded using a BiLSTM attention  The layer was designed to capture the temporal order that news are released and the current news novelty  i e  news that were repeated in the past can be “forgotten” based on the modulating gates of the LSTM network 
– Price mode
Price Encoder
Sequence layer analogous to News Temporal Context, but for the price mode  The input is the ordered sequence Daily Prices ${\lbrace DP^{sc}_{t-T}, \cdots , DP^{sc}_t \rbrace }$ of size $T$ , where each element the price feature defined in eq:pricemodevec  Particularly, the architecture consists of two stacked LSTM's  The first one outputs for each price feature time step a hidden vector that takes the temporal context into account  Then these hidden vectors are again passed to a second independent LSTM  The layer outputs the price mode encoding Market Price $MP^{sc}_t \in d_{MP}$   This encoding is the last hidden vector of the second LSTM Market 
– Stock embedding
Stock Encoder
Stock dense representation  The layer receives the discrete encoding $\mathcal {I}^{sc}_t$ indicating the sample stock code pass through a FC layer and outputs a stock embedding $E_{sc}$  
– Joint Representation
Merging
Feature-wise News, Price, and Stock modes concatenation  No trainable parameters 
Joint Representation Encoder
FC layer of size $d_{JR}$  
Multimodal learning with missing modes
During the training we feed into our neural model the price, news, and stock indicator data  The price and stock indicator modes data occur in all days  However, at the individual stock level we can have days that the company is not covered by the media  This feature imposes challenges to our multimodal training since neural networks are not able to handle missing modes without special intervention  A straightforward solution would be to consider only days with news released, disregarding the remaining samples  However, this approach has two main drawbacks  First, the “missing news” do not happen at random, or are attributed to measurement failure as is, for example, the case of multimodal tasks using mechanical sensors data  Conversely, as highlighted in BIBREF7 , BIBREF8 the same price behaviour results in distinct market reactions when accompanied or not by news  In other words, specifically to financial forecasting problems the absence or existence of news are highly informative 
Some methods were proposed in the multimodal literature to effectively treat informative missing modes or “informative missingness”, which is a characteristic refereed in the literature as learning with missing modalities BIBREF22   In this work, we directly model the news missingness as a feature of our text model temporal sequence by using the method initially proposed in BIBREF45 , BIBREF46 for clinical data with missing measurements and applied in the context of financial forecasting in BIBREF47   Specifically, we implement the Zeros & Imputation (ZI) method BIBREF46 in order to jointly learn the price mode and news relationship across all days of market activity 
The ZI implementation is described as follows: Before the daily news sequence is processed by the text temporal layer (described in itm:newstclayer) we input a 0 vector for all time steps with missing news and leave the news encoding unchanged otherwise  This step is called zero imputation  In addition, we concatenate feature-wise an indicator vector with value 1 for all vectors with zero imputation and 0 for the days with news 
As described in BIBREF47 , the ZI method endow a temporal sequence model with the ability to learn different representations depending on the news history and its relative time position  Moreover, it allows our model to predict the volatility for all days of our time series and, at the same time, take into account the current and past news informative missingness  Furthermore, the learnt positional news encoding works differently than a typical “masking”, where days without news are not passed through the LSTM cell  Masking the time steps would be losing information about the presence or absence of news concomitant with prices 
Experimental results and discussions
We aim to evaluate our hierarchical neural model in the light of three main aspects  First, we asses the importance of the different sentence encoders to our end-to-end models and how it compares to transferring the sentence encoder from our two auxiliary TL tasks  Second, we ablate our proposed news relevance attention (NRA) component to evaluate its importance  Finally, we consider a model that takes into consideration only the price mode (unimodal), i e  ignoring any architecture related to the text mode 
Before we define the baselines to asses the three aspects described above, we review in the next section the scores of the trained TL tasks 
Auxiliary transfer learning tasks
This section reports the performance of the auxiliary TL tasks considered in this work  Our ultimate goal is to indicate that our scores are in line with previous works All the architectures presented in sec:transferlearning are trained for a maximum of 50 epochs using mini-batch SGD with Adam optimizer BIBREF48   Moreover, at the end of each epoch, we evaluate the validation scores, which are accuracy (Stanfor SNLI dataset) and F1 (RCV1 dataset), and save the weights with the best values  Aiming to seeped up training, we implement early stopping with patience set to 8 epochs  That is, if the validation scores do not improve for more than 10 epochs we halt the training  Finally, we use Glove pre-trained word embeddings BIBREF37 as fixed features 
tbl:tlevaluation compares our test scores with state-of-the-art (SOTA) results reported in previous works  We can see that our scores for the SNLI task are very close to state-of-the-art 
Regarding the RCV1 dataset, our results consider only the headline content for training, while the refereed works consider both the news headline and message body  The reason for training using only the headlines is that both tasks are learnt with the sole purpose of transferring the sentence encoders to our main volatility prediction task, whose textual input is restricted to headlines 
Training setup
During the training of our hierarchical neural model described in sub:HAN we took special care to guard against overfitting  To this aim, we completely separate 2016 and 2017 as the test set and report our results on this “unseen” set  The remaining data is further split into training (2007 to 2013) and validation (2014 to 2015)  The model convergence during training is monitored in the validation set  We monitor the validation score of our model at the end of each epoch and store the network weights if the validation scores improves between two consecutive epochs  Additionally, we use mini-batch SGD with Adam optimizer and early stopping with patience set to eight epochs  The hyperparameter tunning is performed using grid search 
All training is performed using the proposed global model approach described in sub:globalmodel, which learns a model that takes into account the features of all the 40 stocks of our corpus  Using this approach our training set has a total of 97,903 samples  Moreover, during the SGD mini-batch sampling the past $T$ days of price and news history tensors and each stock sample stock indicator are randomly selected from the set of all 40 stocks 
Stocks universe result
In order to evaluate the contributions of each component of our neural model described in sub:HAN and the effect of using textual data to predict the volatility, we report our results using the following baselines:
- News (unimodal price only): This baseline completely ablates (i e  removes) any architecture related to the news mode, considering only the price encoding and the stock embedding components  Using this ablation we aim to evaluate the influence of news to the volatility prediction problem 
+ News (End-to-end Sentence Encoders) - NRA: This baseline ablates our proposed new relevance attention (NRA) component, and instead, makes use of the same Daily Averaging method in BIBREF26 , BIBREF27 , where all fixed-sized headline representations on a given day are averaged without taking into account the relevance of each news  We evaluate this baseline for both BiLSTM attention (Att) and BiLSTM max-pooling (MP) sentence encoders  Here, our goal is to asses the true contribution of our NRA component in the case SOTA sentence encoders are taken into account 
+ News (End-to-End W-L Att Sentence Encoder) + NRA: The Word-Level Attention (W-L Att) sentence encoder implements an attention mechanism directly on top of word embeddings, and, as such, does not consider the order of words in a sentence  This baseline complements the previous one, i e  it evaluates the influence of the sentence encoder when our full specification is considered 
+ News (TL Sentence Encoders) + NRA: Makes use of sentence encoders of our two auxiliary TL tasks as fixed features  This baseline aims to address the following questions, namely: What dataset and models are more suitable to transfer to our specific volatility forecasting problem; How End-to-End models, which are trained on top of word embeddings, perform compared to sentence encoders transferred from other tasks 
tbl:comparativeallsectors summarizes the test scores for the ablations discussed above  Our best model is the + News (BiLSTM Att) + NRA, which is trained end-to-end and uses our full architecture  The second best model, i e  + News (BiLSTM MP) + NRA, ranks slightly lower and only differs form the best model in terms of the sentence encoder  The former sentence encoder uses an attention layer (subsec:bilstminneratt) and the the last a max-pooling layer (subsec:bilstmmaxpool), where both layers are placed on top of the LSTM hidden states of each word 
Importantly, our experiments show that using news and price (multimodal) to predict the volatility improves the scores by 11% (MSE) and 9% (MAE) when compared with the – News (price only unimodal) model that considers only price features as explanatory variables 
When comparing the performance of End-to-End models and the TL auxiliary tasks the following can be observed: The end-to-end models trained with the two SOTA sentence encoders perform better than transferring sentence encoder from both auxiliary tasks  However, our experiments show that the same does not hold for models trained end-to-end relying on the simpler WL-Att sentence encoder, which ignores the order of words in a sentence  In other words, considering the appropriate TL task, it is preferable to transfer a SOTA sentence encoder trained on a larger dataset than learning a less robust sentence encoder in an end-to-end fashion  Moreover, initially, we thought that being the RCV1 a financial domain corpus it would demonstrate a superior performance when compared to the SNLI dataset  Still, the SNLI transfers better than RCV1  We hypothesize that the text categorization task (RCV1 dataset) is not able to capture complex sentence structures at the same level required to perform natural language inference  Particularly to the volatility forecasting problem, our TL results corroborates the same findings in BIBREF17 , where it was shown that SNLI dataset attains the best sentence encoding for a broad range of pure NLP tasks, including, among other, text categorization and sentiment analysis 
Significantly, experimental results in tbl:comparativeallsectors clearly demonstrate that our proposed news relevance attention (NRA) outperforms the News Averaging method proposed in previous studies BIBREF26 , BIBREF27   Even when evaluating our NRA component in conjunction with the more elementary W-L Att sentence encoder it surpass the results of sophisticated sentence encoder using a News Averaging approach  In other words, our results strongly points to the advantage of discriminating noisy from impacting news and the effectiveness of learning to attend the most relevant news 
Having analyzed our best model, we now turn to its comparative performance with respect to the widely regarded GARCH(1,1) model described in sec:GARCH 
We asses our model performance relative to GARCH(1,1) using standard loss metrics (MSE and MAE) and the regression-based accuracy specified in eq:regressionloss and measured in terms of the coefficient of determination $R^2$   In addition, we evaluate our model across two different volatility proxies: Garman-Klass ( $\widehat{\sigma _{GK}}$ ) (eq:volgk) and Parkinson ( $\widehat{\sigma _{PK}}$ ) (eq:volpk)  We note that, as reviewed in sub:evalution, these two volatility proxies are statically efficient and proper estimators of the next day volatility 
tbl:garchallsectors reports the comparative performance among our best Price + News model (+ News BiLSTM (MP) + NRA), our Price only (unimodal) model and GARCH(1,1)  The results clearly demonstrate the superiority of our model, being more accurate than GRACH for both volatility proxies  We note that evaluating the GARCH(1,1) model relying on standard MSE and MAE error metrics should be taken with a grain of salt  BIBREF35 provides the background theory and arguments supporting $R^2$ as the metric of choice to evaluate the predictive power of a volatility model  In any case, the outperformance or our model with respect to GARCH(1,1) permeates all three metrics, name $R^2$ , $MSE$ and $MAE$  
Sector-level results
Company sectors are expected to have different risk levels, in the sense that each sector is driven by different types of news and economic cycles  Moreover, by performing a sector-level analysis we were initially interested in understanding if the outperformance of our model with respect to GARCH(1,1) was the result of a learning bias to a given sector or if, as turned out to be the case, the superior performance of our model spreads across a diversified portfolio of sectors 
In order to evaluate the performance per sector, we first separate the constituents stocks for each sector in tbl:stockuniverse  Then, we calculate the same metrics discussed in the previous section for each sector individually 
tbl:garcheachsector reports our experimental results segregated by sector  We observe that the GRACH model accuracy, measured using the $R^2$ score, has a high degree of variability among sectors  For example, the accuracy ranges from 0 15 to 0 44 for the HealthCare and Energy sector, respectively  This high degree of variability is in agreement with previous results reported in BIBREF16 , but in the context of long-term (quarterly) volatility predictions  Although the GARCH(1,1) accuracy is sector-dependent, without any exception, our model using price and news as input clearly outperforms GRACH sector-wise  This fact allow us to draw the following conclusions:
Our model outperformance is persistent across sectors, i e  the characteristics of the results reported in tbl:garchallsectors permeates all sectors, rather than being composed of a mix of outperforming and underperforming sector contributions  This fact provides a strong evidence that our model is more accurate than GARCH(1,1) 
The proposed Global model approach discussed in sub:globalmodel is able to generalize well, i e  the patterns learnt are not biased to a given sector or stock 
One of the limitations of our work is to rely on proxies for the volatility estimation  Although these proxies are handy if only open, high, low and close daily price data is available, having high frequency price data we could estimate the daily volatility using the sum of squared intraday returns to measure the true daily latent volatility  For example, in evaluating the performance for the one-day-ahead GARCH(1,1) Yen/Dollar exchange rate BIBREF35 reports $R^2$ values of 0 237 and 0 392 using hourly and five minutes sampled intraday returns, respectively  However, we believe that utilizing intraday data would further improve our model performance 
Since our experimental results demonstrate the key aspect of the news relevance attention to model architecture we observe that intraday data would arguably ameliorate the learning process  Having intraday data would allow us to pair each individual news release with the instantaneous market price reaction  Using daily data we are losing part of this information by only measuring the aggregate effect of all news to the one-day-ahead prediction 
Conclusion
We study the joint effect of stock news and prices on the daily volatility forecasting problem  To the best of our knowledge, this work is one of the first studies aiming to predict short-term (daily) rather than long-term (quarterly or yearly) volatility taking news and price as explanatory variables and using a comprehensive dataset of news headlines at the individual stock level  Our hierarchical end-to-end model benefits from state-of-the-art approaches to encode text information and to deal with two main challenges in correlating news with market reaction: news relevance and novelty  That is, to address the problem of how to attend the most important news based purely on its content (news relevance attention) and to take into account the temporal information of past news (temporal context)  Additionally, we propose a multi-stock mini-batch + stock embedding method suitable to model commonality among stocks 
The experimental results show that our multimodal approach outperforms the GARCH(1,1) volatility model, which is the most prevalent econometric model for daily volatility predictions  The outperformance being sector-wise and demonstrates the effectiveness of combining price and news for short-term volatility forecasting  The fact that we outperform GARCH(1,1) for all analyzed sectors confirms the robustness of our proposed architecture and evidences that our global model approach generalizes well 
We ablated (i e  removed) different components of our neural architecture to assess its most relevant parts  To this aim, we replaced our proposed news relevance attention layer, which aims to attend the most important news on a given day, with a simpler architecture proposed in the literature, which averages the daily news  We found that our attention layer improves the results  Additionally, we ablated all the architecture related to the news mode and found that news enhances the forecasting accuracy 
Finally, we evaluated different sentence encoders, including those transfered from other NLP tasks, and concluded that they achieve better performance as compared to a plain Word-level attention sentence encoder trained end-to-end  However, they do not beat state-of-the-art sentence encoders trained end-to-end 
In order to contribute to the literature of Universal Sentence Encoders, we evaluated the performance of transferring sentence encoders from two different tasks to the volatility prediction problem  We showed that models trained on the Natural Language Inference (NLI) task are more suitable to forecasting problems than a financial domain dataset (Reuters RCV1)  By analyzing different architectures, we showed that a BiLSTM with max-pooling for the SNLI dataset provides the best sentence encoder 
In the future, we plan to make use of intraday prices to better assess the predictive power of our proposed models  Additionally, we would further extend our analysis to other stock market sectors 

ground_truth: Energy with accuracy of 0.538

Energy