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 were the baselines?
Context 1: Introduction
The task of speculation detection and scope resolution is critical in distinguishing factual information from speculative information  This has multiple use-cases, like systems that determine the veracity of information, and those that involve requirement analysis  This task is particularly important to the biomedical domain, where patient reports and medical articles often use this feature of natural language  This task is commonly broken down into two subtasks: the first subtask, speculation cue detection, is to identify the uncertainty cue in a sentence, while the second subtask: scope resolution, is to identify the scope of that cue  For instance, consider the example:
It might rain tomorrow 
The speculation cue in the sentence above is ‘might’ and the scope of the cue ‘might’ is ‘rain tomorrow’  Thus, the speculation cue is the word that expresses the speculation, while the words affected by the speculation are in the scope of that cue 
This task was the CoNLL-2010 Shared Task (BIBREF0), which had 3 different subtasks  Task 1B was speculation cue detection on the BioScope Corpus, Task 1W was weasel identification from Wikipedia articles, and Task 2 was speculation scope resolution from the BioScope Corpus  For each task, the participants were provided the train and test set, which is henceforth referred to as Task 1B CoNLL and Task 2 CoNLL throughout this paper 
For our experimentation, we use the sub corpora of the BioScope Corpus (BIBREF1), namely the BioScope Abstracts sub corpora, which is referred to as BA, and the BioScope Full Papers sub corpora, which is referred to as BF  We also use the SFU Review Corpus (BIBREF2), which is referred to as SFU 
This subtask of natural language processing, along with another similar subtask, negation detection and scope resolution, have been the subject of a body of work over the years  The approaches used to solve them have evolved from simple rule-based systems (BIBREF3) based on linguistic information extracted from the sentences, to modern deep-learning based methods  The Machine Learning techniques used varied from Maximum Entropy Classifiers (BIBREF4) to Support Vector Machines (BIBREF5,BIBREF6,BIBREF7,BIBREF8), while the deep learning approaches included Recursive Neural Networks (BIBREF9,BIBREF10), Convolutional Neural Networks (BIBREF11) and most recently transfer learning-based architectures like Bidirectional Encoder Representation from Transformers (BERT) (BIBREF12)  Figures FIGREF1 and FIGREF1 contain a summary of the papers addressing speculation detection and scope resolution (BIBREF13, BIBREF5, BIBREF9, BIBREF3, BIBREF14, BIBREF15, BIBREF16, BIBREF17, BIBREF6, BIBREF11, BIBREF18, BIBREF10, BIBREF19, BIBREF7, BIBREF4, BIBREF8) 
Inspired by the most recent approach of applying BERT to negation detection and scope resolution (BIBREF12), we take this approach one step further by performing a comparative analysis of three popular transformer-based architectures: BERT (BIBREF20), XLNet (BIBREF21) and RoBERTa (BIBREF22), applied to speculation detection and scope resolution  We evaluate the performance of each model across all datasets via the single dataset training approach, and report all scores including inter-dataset scores (i e  train on one dataset, evaluate on another) to test the generalizability of the models  This approach outperforms all existing systems on the task of speculation detection and scope resolution  Further, we jointly train on multiple datasets and obtain improvements over the single dataset training approach on most datasets 
Contrary to results observed on benchmark GLUE tasks, we observe XLNet consistently outperforming RoBERTa  To confirm this observation, we apply these models to the negation detection and scope resolution task, and observe a continuity in this trend, reporting state-of-the-art results on three of four datasets on the negation scope resolution task 
The rest of the paper is organized as follows: In Section 2, we provide a detailed description of our methodology and elaborate on the experimentation details  In Section 3, we present our results and analysis on the speculation detection and scope resolution task, using the single dataset and the multiple dataset training approach  In Section 4, we show the results of applying XLNet and RoBERTa on negation detection and scope resolution and propose a few reasons to explain why XLNet performs better than RoBERTa  Finally, the future scope and conclusion is mentioned in Section 5 
Methodology and Experimental Setup
We use the methodology by Khandelwal and Sawant (BIBREF12), and modify it to support experimentation with multiple models 
For Speculation Cue Detection:
Input Sentence: It might rain tomorrow 
True Labels: Not-A-Cue, Cue, Not-A-Cue, Not-A-Cue 
First, this sentence is preprocessed to get the target labels as per the following annotation schema:
1 – Normal Cue 2 – Multiword Cue 3 – Not a cue 4 – Pad token
Thus, the preprocessed sequence is as follows:
Input Sentence: [It, might, rain, tomorrow]
True Labels: [3,1,3,3]
Then, we preprocess the input using the tokenizer for the model being used (BERT, XLNet or RoBERTa): splitting each word into one or more tokens, and converting each token to it’s corresponding tokenID, and padding it to the maximum input length of the model  Thus,
Input Sentence: [wtt(It), wtt(might), wtt(rain), wtt(tom), wtt(## or), wtt(## row), wtt(〈pad 〉),wtt(〈pad 〉)   ]
True Labels: [3,1,3,3,3,3,4,4,4,4,   ]
The word ‘tomorrow' has been split into 3 tokens, ‘tom', ‘##or' and ‘##row'  The function to convert the word to tokenID is represented by wtt 
For Speculation Scope Resolution:
If a sentence has multiple cues, each cue's scope will be resolved individually 
Input Sentence: It might rain tomorrow 
True Labels: Out-Of-Scope, Out-Of-Scope, In-Scope, In-Scope 
First, this sentence is preprocessed to get the target labels as per the following annotation schema:
0 – Out-Of-Scope 1 – In-Scope
Thus, the preprocessed sequence is as follows:
True Scope Labels: [0,0,1,1]
As for cue detection, we preprocess the input using the tokenizer for the model being used  Additionally, we need to indicate which cue's scope we want to find in the input sentence  We do this by inserting a special token representing the token type (according to the cue detection annotation schema) before the cue word whose scope is being resolved  Here, we want to find the scope of the cue ‘might'  Thus,
Input Sentence: [wtt(It), wtt(〈token[1]〉), wtt(might), wtt(rain), wtt(tom), wtt(##or), wtt(##row), wtt(〈pad〉), wtt(〈pad〉)   ]
True Scope Labels: [0,0,1,1,1,1,0,0,0,0,   ]
Now, the preprocessed input for cue detection and similarly for scope detection is fed as input to our model as follows:
X = Model (Input)
Y = W*X + b
The W matrix is a matrix of size n_hidden x num_classes (n_hidden is the size of the representation of a token within the model)  These logits are fed to the loss function 
We use the following variants of each model:
BERT: bert-base-uncaseds3 amazonaws com/models huggingface co/bert/bert-base-uncased tar gz (The model used by BIBREF12)
RoBERTa: roberta-bases3 amazonaws com/models huggingface co/bert/roberta-base-pytorch_model bin (RoBERTa-base does not have an uncased variant)
XLNet: xlnet-base-caseds3 amazonaws com/models huggingface co/bert/xlnet-base-cased-pytorch_model bin (XLNet-base does not have an uncased variant)
The output of the model is a vector of probabilities per token  The loss is calculated for each token, by using the output vector and the true label for that token  We use class weights for the loss function, setting the weight for label 4 to 0 and all other labels to 1 (for cue detection only) to avoid training on padding token’s output 
We calculate the scores (Precision, Recall, F1) for the model per word of the input sentence, not per token that was fed to the model, as the tokens could be different for different models leading to inaccurate scores  For the above example, we calculate the output label for the word ‘tomorrow', not for each token it was split into (‘tom', ‘##or' and ‘##row')  To find the label for each word from the tokens it was split into, we experiment with 2 methods:
Average: We average the output vectors (softmax probabilities) for each token that the word was split into by the model's tokenizer  In the example above, we average the output of ‘tom', ‘##or' and ‘##row' to get the output for ‘tomorrow'  Then, we take an argmax over the resultant vector  This is then compared with the true label for the original word 
First Token: Here, we only consider the first token's probability vector (among all tokens the word was split into) as the output for that word, and get the label by an argmax over this vector  In the example above, we would consider the output vector corresponding to the token ‘tom' as the output for the word ‘tomorrow' 
For cue detection, the results are reported for the Average method only, while we report the scores for both Average and First Token for Scope Resolution 
For fair comparison, we use the same hyperparameters for the entire architecture for all 3 models  Only the tokenizer and the model are changed for each model  All other hyperparameters are kept same  We finetune the models for 60 epochs, using early stopping with a patience of 6 on the F1 score (word level) on the validation dataset  We use an initial learning rate of 3e-5, with a batch size of 8  We use the Categorical Cross Entropy loss function 
We use the Huggingface’s Pytorch Transformer library (BIBREF23) for the models and train all our models on Google Colaboratory 
Results: Speculation Cue Detection and Scope Resolution
We use a default train-validation-test split of 70-15-15 for each dataset  For the speculation detection and scope resolution subtasks using single-dataset training, we report the results as an average of 5 runs of the model  For training the model on multiple datasets, we perform a 70-15-15 split of each training dataset, after which the train and validation part of the individual datasets are merged while the scores are reported for the test part of the individual datasets, which is not used for training or validation  We report the results as an average of 3 runs of the model  Figure FIGREF8 contains results for speculation cue detection and scope resolution when trained on a single dataset  All models perform the best when trained on the same dataset as they are evaluated on, except for BF, which gets the best results when trained on BA  This is because of the transfer learning capabilities of the models and the fact that BF is a smaller dataset than BA (BF: 2670 sentences, BA: 11871 sentences)  For speculation cue detection, there is lesser generalizability for models trained on BF or BA, while there is more generalizability for models trained on SFU  This could be because of the different nature of the biomedical domain 
Figure FIGREF11 contains the results for speculation detection and scope resolution for models trained jointly on multiple datasets  We observe that training on multiple datasets helps the performance of all models on each dataset, as the quantity of data available to train the model increases  We also observe that XLNet consistently outperforms BERT and RoBERTa  To confirm this observation, we apply the 2 models to the related task of negation detection and scope resolution
Negation Cue Detection and Scope Resolution
We use a default train-validation-test split of 70-15-15 for each dataset, and use all 4 datasets (BF, BA, SFU and Sherlock)  The results for BERT are taken from BIBREF12  The results for XLNet and RoBERTa are averaged across 5 runs for statistical significance  Figure FIGREF14 contains results for negation cue detection and scope resolution  We report state-of-the-art results on negation scope resolution on BF, BA and SFU datasets  Contrary to popular opinion, we observe that XLNet is better than RoBERTa for the cue detection and scope resolution tasks  A few possible reasons for this trend are:
Domain specificity, as both negation and speculation are closely related subtasks  Further experimentation on different tasks is needed to verify this 
Most benchmark tasks are sentence classification tasks, whereas the subtasks we experiment on are sequence labelling tasks  Given the pre-training objective of XLNet (training on permutations of the input), it may be able to capture long-term dependencies better, essential for sequence labelling tasks 
We work with the base variants of the models, while most results are reported with the large variants of the models 
Conclusion and Future Scope
In this paper, we expanded on the work of Khandelwal and Sawant (BIBREF12) by looking at alternative transfer-learning models and experimented with training on multiple datasets  On the speculation detection task, we obtained a gain of 0 42 F1 points on BF, 1 98 F1 points on BA and 0 29 F1 points on SFU, while on the scope resolution task, we obtained a gain of 8 06 F1 points on BF, 4 27 F1 points on BA and 11 87 F1 points on SFU, when trained on a single dataset  While training on multiple datasets, we observed a gain of 10 6 F1 points on BF and 1 94 F1 points on BA on the speculation detection task and 2 16 F1 points on BF and 0 25 F1 points on SFU on the scope resolution task over the single dataset training approach  We thus significantly advance the state-of-the-art for speculation detection and scope resolution  On the negation scope resolution task, we applied the XLNet and RoBERTa and obtained a gain of 3 16 F1 points on BF, 0 06 F1 points on BA and 0 3 F1 points on SFU  Thus, we demonstrated the usefulness of transformer-based architectures in the field of negation and speculation detection and scope resolution  We believe that a larger and more general dataset would go a long way in bolstering future research and would help create better systems that are not domain-specific 
Context 3: Introduction
A hashtag is a keyphrase represented as a sequence of alphanumeric characters plus underscore, preceded by the # symbol  Hashtags play a central role in online communication by providing a tool to categorize the millions of posts generated daily on Twitter, Instagram, etc  They are useful in search, tracking content about a certain topic BIBREF0 , BIBREF1 , or discovering emerging trends BIBREF2  
Hashtags often carry very important information, such as emotion BIBREF3 , sentiment BIBREF4 , sarcasm BIBREF5 , and named entities BIBREF6 , BIBREF7   However, inferring the semantics of hashtags is non-trivial since many hashtags contain multiple tokens joined together, which frequently leads to multiple potential interpretations (e g , lion head vs  lionhead)  Table TABREF3 shows several examples of single- and multi-token hashtags  While most hashtags represent a mix of standard tokens, named entities and event names are prevalent and pose challenges to both human and automatic comprehension, as these are more likely to be rare tokens  Hashtags also tend to be shorter to allow fast typing, to attract attention or to satisfy length limitations imposed by some social media platforms  Thus, they tend to contain a large number of abbreviations or non-standard spelling variations (e g , #iloveu4eva) BIBREF8 , BIBREF9 , which hinders their understanding 
The goal of our study is to build efficient methods for automatically splitting a hashtag into a meaningful word sequence  Our contributions are:
Our new dataset includes segmentation for 12,594 unique hashtags and their associated tweets annotated in a multi-step process for higher quality than the previous dataset of 1,108 hashtags BIBREF10   We frame the segmentation task as a pairwise ranking problem, given a set of candidate segmentations  We build several neural architectures using this problem formulation which use corpus-based, linguistic and thesaurus based features  We further propose a multi-task learning approach which jointly learns segment ranking and single- vs  multi-token hashtag classification  The latter leads to an error reduction of 24 6% over the current state-of-the-art  Finally, we demonstrate the utility of our method by using hashtag segmentation in the downstream task of sentiment analysis  Feeding the automatically segmented hashtags to a state-of-the-art sentiment analysis method on the SemEval 2017 benchmark dataset results in a 2 6% increase in the official metric for the task 
Background and Preliminaries
Current approaches for hashtag segmentation can be broadly divided into three categories: (a) gazeteer and rule based BIBREF11 , BIBREF12 , BIBREF13 , (b) word boundary detection BIBREF14 , BIBREF15 , and (c) ranking with language model and other features BIBREF16 , BIBREF10 , BIBREF0 , BIBREF17 , BIBREF18   Hashtag segmentation approaches draw upon work on compound splitting for languages such as German or Finnish BIBREF19 and word segmentation BIBREF20 for languages with no spaces between words such as Chinese BIBREF21 , BIBREF22   Similar to our work, BIBREF10 BansalBV15 extract an initial set of candidate segmentations using a sliding window, then rerank them using a linear regression model trained on lexical, bigram and other corpus-based features  The current state-of-the-art approach BIBREF14 , BIBREF15 uses maximum entropy and CRF models with a combination of language model and hand-crafted features to predict if each character in the hashtag is the beginning of a new word 
Generating Candidate Segmentations  Microsoft Word Breaker BIBREF16 is, among the existing methods, a strong baseline for hashtag segmentation, as reported in BIBREF14 and BIBREF10   It employs a beam search algorithm to extract INLINEFORM0 best segmentations as ranked by the n-gram language model probability: INLINEFORM1
where INLINEFORM0 is the word sequence of segmentation INLINEFORM1 and INLINEFORM2 is the window size  More sophisticated ranking strategies, such as Binomial and word length distribution based ranking, did not lead to a further improvement in performance BIBREF16   The original Word Breaker was designed for segmenting URLs using language models trained on web data  In this paper, we reimplemented and tailored this approach to segmenting hashtags by using a language model specifically trained on Twitter data (implementation details in § SECREF26 )  The performance of this method itself is competitive with state-of-the-art methods (evaluation results in § SECREF46 )  Our proposed pairwise ranking method will effectively take the top INLINEFORM3 segmentations generated by this baseline as candidates for reranking 
However, in prior work, the ranking scores of each segmentation were calculated independently, ignoring the relative order among the top INLINEFORM0 candidate segmentations  To address this limitation, we utilize a pairwise ranking strategy for the first time for this task and propose neural architectures to model this 
Multi-task Pairwise Neural Ranking
We propose a multi-task pairwise neural ranking approach to better incorporate and distinguish the relative order between the candidate segmentations of a given hashtag  Our model adapts to address single- and multi-token hashtags differently via a multi-task learning strategy without requiring additional annotations  In this section, we describe the task setup and three variants of pairwise neural ranking models (Figure FIGREF11 ) 
Segmentation as Pairwise Ranking
The goal of hashtag segmentation is to divide a given hashtag INLINEFORM0 into a sequence of meaningful words INLINEFORM1   For a hashtag of INLINEFORM2 characters, there are a total of INLINEFORM3 possible segmentations but only one, or occasionally two, of them ( INLINEFORM4 ) are considered correct (Table TABREF9 ) 
We transform this task into a pairwise ranking problem: given INLINEFORM0 candidate segmentations { INLINEFORM1 }, we rank them by comparing each with the rest in a pairwise manner  More specifically, we train a model to predict a real number INLINEFORM2 for any two candidate segmentations INLINEFORM3 and INLINEFORM4 of hashtag INLINEFORM5 , which indicates INLINEFORM6 is a better segmentation than INLINEFORM7 if positive, and vice versa  To quantify the quality of a segmentation in training, we define a gold scoring function INLINEFORM8 based on the similarities with the ground-truth segmentation INLINEFORM9 : INLINEFORM10
We use the Levenshtein distance (minimum number of single-character edits) in this paper, although it is possible to use other similarity measurements as alternatives  We use the top INLINEFORM0 segmentations generated by Microsoft Word Breaker (§ SECREF2 ) as initial candidates 
Pairwise Neural Ranking Model
For an input candidate segmentation pair INLINEFORM0 , we concatenate their feature vectors INLINEFORM1 and INLINEFORM2 , and feed them into a feedforward network which emits a comparison score INLINEFORM3   The feature vector INLINEFORM4 or INLINEFORM5 consists of language model probabilities using Good-Turing BIBREF23 and modified Kneser-Ney smoothing BIBREF24 , BIBREF25 , lexical and linguistic features (more details in § SECREF23 )  For training, we use all the possible pairs INLINEFORM6 of the INLINEFORM7 candidates as the input and their gold scores INLINEFORM8 as the target  The training objective is to minimize the Mean Squared Error (MSE): DISPLAYFORM0
where INLINEFORM0 is the number of training examples 
To aggregate the pairwise comparisons, we follow a greedy algorithm proposed by BIBREF26 cohen1998learning and used for preference ranking BIBREF27   For each segmentation INLINEFORM0 in the candidate set INLINEFORM1 , we calculate a single score INLINEFORM2 , and find the segmentation INLINEFORM3 corresponding to the highest score  We repeat the same procedure after removing INLINEFORM4 from INLINEFORM5 , and continue until INLINEFORM6 reduces to an empty set  Figure FIGREF11 (a) shows the architecture of this model 
Margin Ranking (MR) Loss
As an alternative to the pairwise ranker (§ SECREF15 ), we propose a pairwise model which learns from candidate pairs INLINEFORM0 but ranks each individual candidate directly rather than relatively  We define a new scoring function INLINEFORM1 which assigns a higher score to the better candidate, i

ground_truth: varied from Maximum Entropy Classifiers (BIBREF4) to Support Vector Machines (BIBREF5,BIBREF6,BIBREF7,BIBREF8), Recursive Neural Networks (BIBREF9,BIBREF10), Convolutional Neural Networks (BIBREF11) and most recently transfer learning-based architectures like Bidirectional Encoder Representation from Transformers (BERT) (BIBREF12)

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 2: 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  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 
Context 3: e , INLINEFORM2 , if INLINEFORM3 is a better candidate than INLINEFORM4 and vice-versa  Instead of concatenating the features vectors INLINEFORM5 and INLINEFORM6 , we feed them separately into two identical feedforward networks with shared parameters  During testing, we use only one of the networks to rank the candidates based on the INLINEFORM7 scores  For training, we add a ranking layer on top of the networks to measure the violations in the ranking order and minimize the Margin Ranking Loss (MR): DISPLAYFORM0
where INLINEFORM0 is the number of training samples  The architecture of this model is presented in Figure FIGREF11 (b) 
Adaptive Multi-task Learning
Both models in § SECREF15 and § SECREF17 treat all the hashtags uniformly  However, different features address different types of hashtags  By design, the linguistic features capture named entities and multi-word hashtags that exhibit word shape patterns, such as camel case  The ngram probabilities with Good-Turing smoothing gravitate towards multi-word segmentations with known words, as its estimate for unseen ngrams depends on the fraction of ngrams seen once which can be very low BIBREF28   The modified Kneser-Ney smoothing is more likely to favor segmentations that contain rare words, and single-word segmentations in particular  Please refer to § SECREF46 for a more detailed quantitative and qualitative analysis 
To leverage this intuition, we introduce a binary classification task to help the model differentiate single-word from multi-word hashtags  The binary classifier takes hashtag features INLINEFORM0 as the input and outputs INLINEFORM1 , which represents the probability of INLINEFORM2 being a multi-word hashtag  INLINEFORM3 is used as an adaptive gating value in our multi-task learning setup  The gold labels for this task are obtained at no extra cost by simply verifying whether the ground-truth segmentation has multiple words  We train the pairwise segmentation ranker and the binary single- vs  multi-token hashtag classifier jointly, by minimizing INLINEFORM4 for the pairwise ranker and the Binary Cross Entropy Error ( INLINEFORM5 ) for the classifier: DISPLAYFORM0
where INLINEFORM0 is the adaptive gating value, INLINEFORM1 indicates if INLINEFORM2 is actually a multi-word hashtag and INLINEFORM3 is the number of training examples  INLINEFORM4 and INLINEFORM5 are the weights for each loss  For our experiments, we apply equal weights 
More specifically, we divide the segmentation feature vector INLINEFORM0 into two subsets: (a) INLINEFORM1 with modified Kneser-Ney smoothing features, and (b) INLINEFORM2 with Good-Turing smoothing and linguistic features  For an input candidate segmentation pair INLINEFORM3 , we construct two pairwise vectors INLINEFORM4 and INLINEFORM5 by concatenation, then combine them based on the adaptive gating value INLINEFORM6 before feeding them into the feedforward network INLINEFORM7 for pairwise ranking: DISPLAYFORM0
We use summation with padding, as we find this simple ensemble method achieves similar performance in our experiments as the more complex multi-column networks BIBREF29   Figure FIGREF11 (c) shows the architecture of this model  An analogue multi-task formulation can also be used for the Margin Ranking loss as: DISPLAYFORM0
Features
We use a combination of corpus-based and linguistic features to rank the segmentations  For a candidate segmentation INLINEFORM0 , its feature vector INLINEFORM1 includes the number of words in the candidate, the length of each word, the proportion of words in an English dictionary or Urban Dictionary BIBREF30 , ngram counts from Google Web 1TB corpus BIBREF31 , and ngram probabilities from trigram language models trained on the Gigaword corpus BIBREF32 and 1 1 billion English tweets from 2010, respectively  We train two language models on each corpus: one with Good-Turing smoothing using SRILM BIBREF33 and the other with modified Kneser-Ney smoothing using KenLM BIBREF34   We also add boolean features, such as if the candidate is a named-entity present in the list of Wikipedia titles, and if the candidate segmentation INLINEFORM2 and its corresponding hashtag INLINEFORM3 satisfy certain word-shapes (more details in appendix SECREF61 ) 
Similarly, for hashtag INLINEFORM0 , we extract the feature vector INLINEFORM1 consisting of hashtag length, ngram count of the hashtag in Google 1TB corpus BIBREF31 , and boolean features indicating if the hashtag is in an English dictionary or Urban Dictionary, is a named-entity, is in camel case, ends with a number, and has all the letters as consonants  We also include features of the best-ranked candidate by the Word Breaker model 
Implementation Details
We use the PyTorch framework to implement our multi-task pairwise ranking model  The pairwise ranker consists of an input layer, three hidden layers with eight nodes in each layer and hyperbolic tangent ( INLINEFORM0 ) activation, and a single linear output node  The auxiliary classifier consists of an input layer, one hidden layer with eight nodes and one output node with sigmoid activation  We use the Adam algorithm BIBREF35 for optimization and apply a dropout of 0 5 to prevent overfitting  We set the learning rate to 0 01 and 0 05 for the pairwise ranker and auxiliary classifier respectively  For each experiment, we report results obtained after 100 epochs 
For the baseline model used to extract the INLINEFORM0 initial candidates, we reimplementated the Word Breaker BIBREF16 as described in § SECREF2 and adapted it to use a language model trained on 1 1 billion tweets with Good-Turing smoothing using SRILM BIBREF33 to give a better performance in segmenting hashtags (§ SECREF46 )  For all our experiments, we set INLINEFORM1  
Hashtag Segmentation Data
We use two datasets for experiments (Table TABREF29 ): (a) STAN INLINEFORM0 , created by BIBREF10 BansalBV15, which consists of 1,108 unique English hashtags from 1,268 randomly selected tweets in the Stanford Sentiment Analysis Dataset BIBREF36 along with their crowdsourced segmentations and our additional corrections; and (b) STAN INLINEFORM1 , our new expert curated dataset, which includes all 12,594 unique English hashtags and their associated tweets from the same Stanford dataset 
Experiments
In this section, we present experimental results that compare our proposed method with the other state-of-the-art approaches on hashtag segmentation datasets  The next section will show experiments of applying hashtag segmentation to the popular task of sentiment analysis 
Existing Methods
We compare our pairwise neural ranker with the following baseline and state-of-the-art approaches:
The original hashtag as a single token;
A rule-based segmenter, which employs a set of word-shape rules with an English dictionary BIBREF13 ;
A Viterbi model which uses word frequencies from a book corpus BIBREF0 ;
The specially developed GATE Hashtag Tokenizer from the open source toolkit, which combines dictionaries and gazetteers in a Viterbi-like algorithm BIBREF11 ;
A maximum entropy classifier (MaxEnt) trained on the STAN INLINEFORM0 training dataset  It predicts whether a space should be inserted at each position in the hashtag and is the current state-of-the-art BIBREF14 ;
Our reimplementation of the Word Breaker algorithm which uses beam search and a Twitter ngram language model BIBREF16 ;
A pairwise linear ranker which we implemented for comparison purposes with the same features as our neural model, but using perceptron as the underlying classifier BIBREF38 and minimizing the hinge loss between INLINEFORM0 and a scoring function similar to INLINEFORM1   It is trained on the STAN INLINEFORM2 dataset 
Evaluation Metrics
We evaluate the performance by the top INLINEFORM0 ( INLINEFORM1 ) accuracy (A@1, A@2), average token-level F INLINEFORM2 score (F INLINEFORM3 @1), and mean reciprocal rank (MRR)  In particular, the accuracy and MRR are calculated at the segmentation-level, which means that an output segmentation is considered correct if and only if it fully matches the human segmentation  Average token-level F INLINEFORM4 score accounts for partially correct segmentation in the multi-token hashtag cases 
Results
Tables TABREF32 and TABREF33 show the results on the STAN INLINEFORM0 and STAN INLINEFORM1 datasets, respectively  All of our pairwise neural rankers are trained on the 2,518 manually segmented hashtags in the training set of STAN INLINEFORM2 and perform favorably against other state-of-the-art approaches  Our best model (MSE+multitask) that utilizes different features adaptively via a multi-task learning procedure is shown to perform better than simply combining all the features together (MR and MSE)  We highlight the 24 6% error reduction on STAN INLINEFORM3 and 16 5% on STAN INLINEFORM4 of our approach over the previous SOTA BIBREF14 on the Multi-token hashtags, and the importance of having a separate evaluation of multi-word cases as it is trivial to obtain 100% accuracy for Single-token hashtags  While our hashtag segmentation model is achieving a very high accuracy@2, to be practically useful, it remains a challenge to get the top one predication exactly correct

ground_truth: Energy with accuracy of 0.538

Energy

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. Do the hashtag and SemEval datasets contain only English data?
Context 3:  Some hashtags are very difficult to interpret, e g , #BTVbrownSMB refers to the Social Media Breakfast (SMB) in Burlington, Vermont (BTV) 
The improved Word Breaker with our addition of a Twitter-specific language model is a very strong baseline, which echos the findings of the original Word Breaker paper BIBREF16 that having a large in-domain language model is extremely helpful for word segmentation tasks  It is worth noting that the other state-of-the-art system BIBREF14 also utilized a 4-gram language model trained on 476 million tweets from 2009 
Analysis and Discussion
To empirically illustrate the effectiveness of different features on different types of hashtags, we show the results for models using individual feature sets in pairwise ranking models (MSE) in Table TABREF45   Language models with modified Kneser-Ney smoothing perform best on single-token hashtags, while Good-Turing and Linguistic features work best on multi-token hashtags, confirming our intuition about their usefulness in a multi-task learning approach  Table TABREF47 shows a qualitative analysis with the first column ( INLINEFORM0 INLINEFORM1 INLINEFORM2 ) indicating which features lead to correct or wrong segmentations, their count in our data and illustrative examples with human segmentation 
As expected, longer hashtags with more than three tokens pose greater challenges and the segmentation-level accuracy of our best model (MSE+multitask) drops to 82 1%  For many error cases, our model predicts a close-to-correct segmentation, e g , #youbrownknowyoubrownupttoobrownearly, #iseebrownlondoniseebrownfrance, which is also reflected by the higher token-level F INLINEFORM0 scores across hashtags with different lengths (Figure FIGREF51 ) 
Since our approach heavily relies on building a Twitter language model, we experimented with its sizes and show the results in Figure FIGREF52   Our approach can perform well even with access to a smaller amount of tweets  The drop in F INLINEFORM0 score for our pairwise neural ranker is only 1 4% and 3 9% when using the language models trained on 10% and 1% of the total 1 1 billion tweets, respectively 
Language use in Twitter changes with time BIBREF9   Our pairwise ranker uses language models trained on the tweets from the year 2010  We tested our approach on a set of 500 random English hashtags posted in tweets from the year 2019 and show the results in Table TABREF55   With a segmentation-level accuracy of 94 6% and average token-level F INLINEFORM0 score of 95 6%, our approach performs favorably on 2019 hashtags 
Extrinsic Evaluation: Twitter Sentiment Analysis
We attempt to demonstrate the effectiveness of our hashtag segmentation system by studying its impact on the task of sentiment analysis in Twitter BIBREF39 , BIBREF40 , BIBREF41   We use our best model (MSE+multitask), under the name HashtagMaster, in the following experiments 
Experimental Setup
We compare the performance of the BiLSTM+Lex BIBREF42 sentiment analysis model under three configurations: (a) tweets with hashtags removed, (b) tweets with hashtags as single tokens excluding the # symbol, and (c) tweets with hashtags as segmented by our system, HashtagMaster  BiLSTM+Lex is a state-of-the-art open source system for predicting tweet-level sentiment BIBREF43   It learns a context-sensitive sentiment intensity score by leveraging a Twitter-based sentiment lexicon BIBREF44   We use the same settings as described by BIBREF42 teng-vo-zhang:2016:EMNLP2016 to train the model 
We use the dataset from the Sentiment Analysis in Twitter shared task (subtask A) at SemEval 2017 BIBREF41   Given a tweet, the goal is to predict whether it expresses POSITIVE, NEGATIVE or NEUTRAL sentiment  The training and development sets consist of 49,669 tweets and we use 40,000 for training and the rest for development  There are a total of 12,284 tweets containing 12,128 hashtags in the SemEval 2017 test set, and our hashtag segmenter ended up splitting 6,975 of those hashtags present in 3,384 tweets 
Results and Analysis
In Table TABREF59 , we report the results based on the 3,384 tweets where HashtagMaster predicted a split, as for the rest of tweets in the test set, the hashtag segmenter would neither improve nor worsen the sentiment prediction  Our hashtag segmenter successfully improved the sentiment analysis performance by 2% on average recall and F INLINEFORM0 comparing to having hashtags unsegmented  This improvement is seemingly small but decidedly important for tweets where sentiment-related information is embedded in multi-word hashtags and sentiment prediction would be incorrect based only on the text (see Table TABREF60 for examples)  In fact, 2,605 out of the 3,384 tweets have multi-word hashtags that contain words in the Twitter-based sentiment lexicon BIBREF44 and 125 tweets contain sentiment words only in the hashtags but not in the rest of the tweet  On the entire test set of 12,284 tweets, the increase in the average recall is 0 5% 
Other Related Work
Automatic hashtag segmentation can improve the performance of many applications besides sentiment analysis, such as text classification BIBREF13 , named entity linking BIBREF10 and modeling user interests for recommendations BIBREF45   It can also help in collecting data of higher volume and quality by providing a more nuanced interpretation of its content, as shown for emotion analysis BIBREF46 , sarcasm and irony detection BIBREF11 , BIBREF47   Better semantic analysis of hashtags can also potentially be applied to hashtag annotation BIBREF48 , to improve distant supervision labels in training classifiers for tasks such as sarcasm BIBREF5 , sentiment BIBREF4 , emotions BIBREF3 ; and, more generally, as labels for pre-training representations of words BIBREF49 , sentences BIBREF50 , and images BIBREF51  
Conclusion
We proposed a new pairwise neural ranking model for hashtag segmention and showed significant performance improvements over the state-of-the-art  We also constructed a larger and more curated dataset for analyzing and benchmarking hashtag segmentation methods  We demonstrated that hashtag segmentation helps with downstream tasks such as sentiment analysis  Although we focused on English hashtags, our pairwise ranking approach is language-independent and we intend to extend our toolkit to languages other than English as future work 
Acknowledgments
We thank Ohio Supercomputer Center BIBREF52 for computing resources and the NVIDIA for providing GPU hardware  We thank Alan Ritter, Quanze Chen, Wang Ling, Pravar Mahajan, and Dushyanta Dhyani for valuable discussions  We also thank the annotators: Sarah Flanagan, Kaushik Mani, and Aswathnarayan Radhakrishnan  This material is based in part on research sponsored by the NSF under grants IIS-1822754 and IIS-1755898, DARPA through the ARO under agreement number W911NF-17-C-0095, through a Figure-Eight (CrowdFlower) AI for Everyone Award and a Criteo Faculty Research Award to Wei Xu  The views and conclusions contained in this publication are those of the authors and should not be interpreted as representing official policies or endorsements of the U S  Government 
Word-shape rules
Our model uses the following word shape rules as boolean features  If the candidate segmentation INLINEFORM0 and its corresponding hashtag INLINEFORM1 satisfies a word shape rule, then the boolean feature is set to True 

ground_truth: Yes

Yes