ymoslem/acl-abstracts huggingface dataset:
Unveiling Currency Market Dynamics: Leveraging Federal Reserve Communications for Strategic Investment Insights (2024)

The purpose of this paper is to extract market signals for the major currencies (EUR, USD, GBP, JPY, CNY) analyzing the Federal Reserve System (FED) minutes and speeches, and, consequently, making suggestions about going long/short or remaining neutral to investors thanks to the causal relationships between FED sentiment and currency exchange rates. To this purpose, we aim to verify the hypothesis that the currency market dynamics follow a trend that is subject to the sentiment of FED minutes and speeches related to specific relevant currencies. The proposed paper has highlighted two main findings: (1) the sentiment expressed in the FED minutes has a strong influence on financial market predictability on major currencies trend and (2) the sentiment over time Granger-causes the exchange rate of currencies not only immediately but also at increasing lags according to a monotonically decreasing impact.
Analysis of Material Facts on Financial Assets: A Generative AI Approach (2024)

Material facts (MF) are crucial and obligatory disclosures that can significantly influence asset values. Following their release, financial analysts embark on the meticulous and highly specialized task of crafting analyses to shed light on their impact on company assets, a challenge elevated by the daily amount of MFs released. Generative AI, with its demonstrated power of crafting coherent text, emerges as a promising solution to this task. However, while these analyses must incorporate the MF, they must also transcend it, enhancing it with vital background information, valuable and grounded recommendations, prospects, potential risks, and their underlying reasoning. In this paper, we approach this task as an instance of controllable text generation, aiming to ensure adherence to the MF and other pivotal attributes as control elements. We first explore language models' capacity to manage this task by embedding those elements into prompts and engaging popular chatbots. A bilingual proof of concept underscores both the potential and the challenges of applying generative AI techniques to this task.
Exploring Large Language Models in Financial Argument Relation Identification (2024)

In the dynamic landscape of financial analytics, the argumentation within Earnings Conference Calls (ECCs) provides valuable insights for investors and market participants. This paper delves into the automatic relation identification between argument components in this type of data, a poorly studied task in the literature. To tackle this challenge, we empirically examined and analysed a wide range of open-source models, as well as the Generative Pre-trained Transformer GPT-4. On the one hand, our experiments in open-source models spanned general-purpose models, debate-fine-tuned models, and financial-fine-tuned models. On the other hand, we assessed the performance of GPT-4 zero-shot learning on a financial argumentation dataset (FinArg). Our findings show that a smaller open-source model, fine-tuned on relevant data, can perform as a huger general-purpose one, showing the value of enriching the local embeddings with the semantic context of data. However, GPT-4 demonstrated superior performance with F1-score of 0.81, even with no given samples or shots. In this paper, we detail our data, models and experimental setup. We also provide further performance analysis from different aspects.
Keyword-based Annotation of Visually-Rich Document Content for Trend and Risk Analysis Using Large Language Models (2024)

In the banking and finance sectors, members of the business units focused on Trend and Risk Analysis daily process internal and external visually-rich documents including text, images, and tables. Given a facet (i.e., topic) of interest, they are particularly interested in retrieving the top trending keywords related to it and then use them to annotate the most relevant document elements (e.g., text paragraphs, images or tables). In this paper, we explore the use of both open-source and proprietary Large Language Models to automatically generate lists of facet-relevant keywords, automatically produce free-text descriptions of both keywords and multimedia document content, and then annotate documents by leveraging textual similarity approaches. The preliminary results, achieved on English and Italian documents, show that OpenAI GPT-4 achieves superior performance in keyword description generation and multimedia content annotation, while the open-source Meta AI Llama2 model turns out to be highly competitive in generating additional keywords.
ESG-FTSE: A Corpus of News Articles with ESG Relevance Labels and Use Cases (2024)

We present ESG-FTSE, the first corpus comprised of news articles with Environmental, Social and Governance (ESG) relevance annotations. In recent years, investors and regulators have pushed ESG investing to the mainstream due to the urgency of climate change. This has led to the rise of ESG scores to evaluate an investment`s credentials as socially responsible. While demand for ESG scores is high, their quality varies wildly. Quantitative techniques can be applied to improve ESG scores, thus, responsible investing. To contribute to resource building for ESG and financial text mining, we pioneer the ESG-FTSE corpus. We further present the first of its kind ESG annotation schema. It has three levels: a binary classification (relevant versus irrelevant news articles), ESG classification (ESG-related news articles), and target company. Both supervised and unsupervised learning experiments for ESG relevance detection were conducted to demonstrate that the corpus can be used in different settings to derive accurate ESG predictions.
BBRC: Brazilian Banking Regulation Corpora (2024)

We present BBRC, a collection of 25 corpus of banking regulatory risk from different departments of Banco do Brasil (BB). These are individual corpus about investments, insurance, human resources, security, technology, treasury, loans, accounting, fraud, credit cards, payment methods, agribusiness, risks, etc. They were annotated in binary form by experts indicating whether each regulatory document contains regulatory risk that may require changes to products, processes, services, and channels of a bank department or not. The corpora in Portuguese contain documents from 26 Brazilian regulatory authorities in the financial sector. In total, there are 61,650 annotated documents, mostly between half and three pages long. The corpora belong to a Natural Language Processing (NLP) application that has been in production since 2020. In this work, we also performed binary classification benchmarks with some of the corpus. Experiments were carried out with different sampling techniques and in one of them we sought to solve an intraclass imbalance problem present in each corpus of the corpora. For the benchmarks, we used the following classifiers: Multinomial Naive Bayes, Random Forest, SVM, XGBoost, and BERTimbau (a version of BERT for Portuguese). The BBRC can be downloaded through a link in the article.
Stock Price Prediction with Sentiment Analysis for Chinese Market (2024)

Accurate prediction of stock prices is considered as a significant practical challenge and has been a longstanding topic of debate within the economic domain. In recent years, sentiment analysis on social media comments has been considered an important data source for stock prediction. However, most of these works focus on exploring stocks with high market values or from specific industries. The extent to which sentiments affect a broader range of stocks and their overall performance remains uncertain. In this paper, we study the influence of sentiment analysis on stock price prediction with respect to (1) different market value groups and (2) different Book-to-Market ratio groups in the Chinese stock market. To this end, we create a new dataset that consists of 24 stocks across different market value groups and Book-to-Market ratio categories, along with 12,000 associated comments that have been collected and manually annotated. We then utilized this dataset to train a variety of sentiment classifiers, which were subsequently integrated into sequential neural-based models for stock price prediction. Experimental findings indicate that while sentiment integration generally improve the predictive performance for price prediction, it may not consistently lead to better results for individual stocks. Moreover, these outcomes are notably influenced by varying market values and Book-to-Market ratios, with stocks of higher market values and B/M ratios often exhibiting more accurate predictions. Among all the models tested, the Bi-LSTM model incorporated with the sentiment analysis, achieves the best prediction performance.
Topic Taxonomy Construction from ESG Reports (2024)

The surge in Environmental, Societal, and Governance (ESG) reports, essential for corporate transparency and modern investments, presents a challenge for investors due to their varying lengths and sheer volume. We present a novel methodology, called MultiTaxoGen, for creating topic taxonomies designed specifically for analysing the ESG reports. Topic taxonomies serve to illustrate topics covered in a corpus of ESG reports while also highlighting the hierarchical relationships between them. Unfortunately, current state-of-the-art approaches for constructing topic taxonomies are designed for more general datasets, resulting in ambiguous topics and the omission of many latent topics presented in ESG-focused corpora. This makes them unsuitable for the specificity required by investors. Our method instead adapts topic modelling techniques by employing them recursively on each topic`s local neighbourhood, the subcorpus of documents assigned to that topic. This iterative approach allows us to identify the children topics and offers a better understanding of topic hierarchies in a fine-grained paradigm. Our findings reveal that our method captures more latent topics in our ESG report corpus than the leading method and provides more coherent topics with comparable relational accuracy.
Duration Dynamics: Fin-Turbo`s Rapid Route to ESG Impact Insight (2024)

This study introduces {\textquotedblleft}Duration Dynamics: Fin-Turbo`s Rapid Route to ESG Impact Insight{\textquotedblright}, an innovative approach employing advanced Natural Language Processing (NLP) techniques to assess the impact duration of ESG events on corporations. Leveraging a unique dataset comprising multilingual news articles, the research explores the utility of machine translation for language uniformity, text segmentation for contextual understanding, data augmentation for dataset balance, and an ensemble learning method integrating models like ESG-BERT, RoBERTa, DeBERTa, and Flan-T5 for nuanced analysis. Yielding excellent results, our research showcases the potential of using language models to improve ESG-oriented decision-making, contributing valuable insights to the FinNLP community.
Multilingual ESG News Impact Identification Using an Augmented Ensemble Approach (2024)

Determining the duration and length of a news event`s impact on a company`s performance remains elusive for financial analysts. The complexity arises from the fact that the effects of these news articles are influenced by various extraneous factors and can change over time. As a result, in this work, we investigate our ability to predict 1) the duration (length) of a news event`s impact, and 2) level of impact on companies. The datasets used in this study are provided as part of the Multi-Lingual ESG Impact Duration Inference (ML-ESG-3) shared task. To handle the data scarcity, we explored data augmentation techniques to augment our training data. To address each of the research objectives stated above, we employ an ensemble approach combining transformer model, a variant of Convolutional Neural Networks (CNNs), specifically the KimCNN model and contextual embeddings. The model`s performance is assessed across a multilingual dataset encompassing English, French, Japanese, and Korean news articles. For the first task of determining impact duration, our model ranked in first, fifth, seventh, and eight place for Japanese, French, Korean and English texts respectively (with respective macro F1 scores of 0.256, 0.458, 0.552, 0.441). For the second task of assessing impact level, our model ranked in sixth, and eight place for French and English texts, respectively (with respective macro F1 scores of 0.488 and 0.550).
Cheap Talk: Topic Analysis of CSR Themes on Corporate Twitter (2024)

Numerous firms advertise action around corporate social responsibility (CSR) on social media. Using a Twitter corpus from S{\&}P 500 companies and topic modeling, we investigate how companies talk about their social and sustainability efforts and whether CSR-related speech predicts Environmental, Social, and Governance (ESG) risk scores. As part of our work in progress, we present early findings suggesting a possible distinction in language between authentic discussion of positive practices and corporate posturing.
LLaMA-2-Econ: Enhancing Title Generation, Abstract Classification, and Academic Q\&A in Economic Research (2024)

Using Quantized Low Rank Adaptation and Parameter Efficient Fine Tuning, we fine-tuned Meta AI`s LLaMA-2-7B large language model as a research assistant in the field of economics for three different types of tasks: title generation, abstract classification, and question and answer. The model was fine-tuned on economics paper abstracts and syntheticically created question-answer dialogues based on the abstracts. For the title generation, the results of the experiment demonstrated that LLaMA-2-Econ (the fine-tuned model) surpassed the base model (7B and 13B) with few shot learning, and comparable models of similar size like Mistral-7B and Bloom-7B in the BLEU and ROUGE metrics. For abstract categorization, LLaMA-2-Econ outperformed different machine and deep learning algorithms in addition to state-of-the-art models like GPT 3.5 and GPT 4 with both single and representative few shot learning. We tested the fine-tuned Q{\&}A model by comparing its output with the base LLaMA-2-7B-chat with a Retrieval Augmented Generation (RAG) pipeline with semantic search and dense vector indexing, and found that LLaMA-2 performed on a par with the base model with RAG.
Multi-Lingual ESG Impact Duration Inference (2024)

To accurately assess the dynamic impact of a company`s activities on its Environmental, Social, and Governance (ESG) scores, we have initiated a series of shared tasks, named ML-ESG. These tasks adhere to the MSCI guidelines for annotating news articles across various languages. This paper details the third iteration of our series, ML-ESG-3, with a focus on impact duration inference{---}a task that poses significant challenges in estimating the enduring influence of events, even for human analysts. In ML-ESG-3, we provide datasets in five languages (Chinese, English, French, Korean, and Japanese) and share insights from our experience in compiling such subjective datasets. Additionally, this paper reviews the methodologies proposed by ML-ESG-3 participants and offers a comparative analysis of the models' performances. Concluding the paper, we introduce the concept for the forthcoming series of shared tasks, namely multi-lingual ESG promise verification, and discuss its potential contributions to the field.
IMNTPU at ML-ESG-3: Transformer Language Models for Multi-Lingual ESG Impact Type and Duration Classification (2024)

Our team participated in the multi-lingual Environmental, Social, and Governance (ESG) classification task, focusing on datasets in three languages: English, French, and Japanese. This study leverages Pre-trained Language Models (PLMs), with a particular emphasis on the Bidirectional Encoder Representations from Transformers (BERT) framework, to analyze sentence and document structures across these varied linguistic datasets. The team`s experimentation with diverse PLM-based network designs facilitated a nuanced comparative analysis within this multi-lingual context. For each language-specific dataset, different BERT-based transformer models were trained and evaluated. Notably, in the experimental results, the RoBERTa-Base model emerged as the most effective in official evaluation, particularly in the English dataset, achieving a micro-F1 score of 58.82 {\%}, thereby demonstrating superior performance in classifying ESG impact levels. This research highlights the adaptability and effectiveness of PLMs in tackling the complexities of multi-lingual ESG classification tasks, underscoring the exceptional performance of the Roberta Base model in processing English-language data.
DICE @ ML-ESG-3: ESG Impact Level and Duration Inference Using LLMs for Augmentation and Contrastive Learning (2024)

We present the submission of team DICE for ML-ESG-3, the 3rd Shared Task on Multilingual ESG impact duration inference in the context of the joint FinNLP-KDF workshop series. The task provides news articles and seeks to determine the impact and duration of an event in the news article may have on a company. We experiment with various baselines and discuss the results of our best-performing submissions based on contrastive pre-training and a stacked model based on the bag-of-words assumption and sentence embeddings. We also explored the label correlations among events stemming from the same news article and the correlations between impact level and impact length. Our analysis shows that even simple classifiers trained in this task can achieve comparable performance with more complex models, under certain conditions.
Fine-tuning Language Models for Predicting the Impact of Events Associated to Financial News Articles (2024)

Investors and other stakeholders like consumers and employees, increasingly consider ESG factors when making decisions about investments or engaging with companies. Taking into account the importance of ESG today, FinNLP-KDF introduced the \textit{ML-ESG-3} shared task, which seeks to determine the duration of the impact of financial news articles in four languages - English, French, Korean, and Japanese. This paper describes our team, LIPI`s approach towards solving the above-mentioned task. Our final systems consist of translation, paraphrasing and fine-tuning language models like BERT, Fin-BERT and RoBERTa for classification. We ranked first in the impact duration prediction subtask for French language.
CriticalMinds: Enhancing ML Models for ESG Impact Analysis Categorisation Using Linguistic Resources and Aspect-Based Sentiment Analysis (2024)

This paper presents our method and findings for the ML-ESG-3 shared task for categorising Environmental, Social, and Governance (ESG) impact level and duration. We introduce a comprehensive machine learning framework incorporating linguistic and semantic features to predict ESG impact levels and durations in English and French. Our methodology uses features that are derived from FastText embeddings, TF-IDF vectors, manually crafted linguistic resources, the ESG taxonomy, and aspect-based sentiment analysis (ABSA). We detail our approach, feature engineering process, model selection via grid search, and results. The best performance for this task was achieved by the Random Forest and XGBoost classifiers, with micro-F1 scores of 47.06 {\%} and 65.44 {\%} for English Impact level and Impact length, and 39.04 {\%} and 54.79 {\%} for French Impact level and Impact length respectively.
Jetsons at FinNLP 2024: Towards Understanding the ESG Impact of a News Article Using Transformer-based Models (2024)

In this paper, we describe the different approaches explored by the Jetsons team for the Multi-Lingual ESG Impact Duration Inference (ML-ESG-3) shared task. The shared task focuses on predicting the duration and type of the ESG impact of a news article. The shared task dataset consists of 2,059 news titles and articles in English, French, Korean, and Japanese languages. For the impact duration classification task, we fine-tuned XLM-RoBERTa with a custom fine-tuning strategy and using self-training and DeBERTa-v3 using only English translations. These models individually ranked first on the leaderboard for Korean and Japanese and in an ensemble for the English language, respectively. For the impact type classification task, our XLM-RoBERTa model fine-tuned using a custom fine-tuning strategy ranked first for the English language.
ESG Classification by Implicit Rule Learning via GPT-4 (2024)

In this work, we adopt multiple prompting, chain-of-thought reasoning, and in-context learning strategies to guide GPT-4 in solving ESG classification tasks. We rank second in the Korean subset for Shared Task ML-ESG-3 in Impact Type prediction. Furthermore, we adopt open models to explain their calibration and robustness to different prompting strategies. The longer general pre-training correlates with enhanced performance in financial downstream tasks.
Leveraging Semi-Supervised Learning on a Financial-Specialized Pre-trained Language Model for Multilingual ESG Impact Duration and Type Classification (2024)

This paper presents the results of our participation in the Multilingual ESG Impact Duration Inference (ML-ESG-3) shared task organized by FinNLP-KDF@LREC-COLING-2024. The objective of this challenge is to leverage natural language processing (NLP) techniques to identify the impact duration or impact type of events that may affect a company based on news articles written in various languages. Our approach employs semi-supervised learning methods on a finance-specialized pre-trained language model. Our methodology demonstrates strong performance, achieving 1st place in the Korean - Impact Type subtask and 2nd place in the Korean - Impact Duration subtask. These results showcase the efficacy of our approach in detecting ESG-related issues from news articles. Our research shows the potential to improve existing ESG ratings by quickly reflecting the latest events of companies.
Adapting LLM to Multi-lingual ESG Impact and Length Prediction Using In-context Learning and Fine-Tuning with Rationale (2024)

The prediction of Environmental, Social, and Governance (ESG) impact and duration (length) of impact from company events, as reported in news articles, hold immense significance for investors, policymakers, and various stakeholders. In this paper, we describe solutions from our team {\textquotedblleft}Upaya{\textquotedblright} to ESG impact and length prediction tasks on one such dataset ML-ESG-3. ML-ESG-3 dataset was released along with shared task as a part of the Fifth Workshop on Knowledge Discovery from Unstructured Data in Financial Services, co-located with LREC-COLING 2024. We employed two different paradigms to adapt Large Language Models (LLMs) to predict both the ESG impact and length of events. In the first approach, we leverage GPT-4 within the In-context learning (ICL) framework. A learning-free dense retriever identifies top K-relevant In-context learning examples from the training data for a given test example. The second approach involves instruction-tuning Mistral (7B) LLM to predict impact and duration, supplemented with rationale generated using GPT-4. Our models secured second place in French tasks and achieved reasonable results (fifth and ninth rank) in English tasks. These results demonstrate the potential of different LLM-based paradigms for delivering valuable insights within the ESG investing landscape.