A financial derivatives related multi-label text classification algorithm based on financial knowledge graph

Hongchao Ma; Yuefeng Lin; Zhongchen Miao; Jian Gao; Jidong Lu

doi:10.1117/12.2675222

25 May 2023 A financial derivatives related multi-label text classification algorithm based on financial knowledge graph

Hongchao Ma, Yuefeng Lin, Zhongchen Miao, Jian Gao, Jidong Lu

Author Affiliations +

Proceedings Volume 12636, Third International Conference on Machine Learning and Computer Application (ICMLCA 2022); 126365C (2023) https://doi.org/10.1117/12.2675222
Event: Third International Conference on Machine Learning and Computer Application (ICMLCA 2022), 2022, Shenyang, China

Abstract

Chinese financial derivatives market is both complicated and highly leveraged. Investors and regulators of derivatives market are required to aggregate information efficiently for detecting potential risks and keeping track of investment opportunities. Gathering information from financial news reports could be modeled as a multi-label text classification task. Many studies have been conducted in this area. However, most previous studies are designed to address common issues rather than specializing in financial area. These studies focus on the texts themselves while omitting supportive financial knowledge. Meanwhile, many previous studies employ a hierarchical label system, which may not be suitable for financial derivatives market because relations among financial labels are web-like rather than tree-like. To draw these limitations when aggregating news report information of Chinese financial derivatives market, this paper models texts to be classified and label structures simultaneously. A financial knowledge graph about Chinese financial derivatives market is firstly built. Then representative labels describing Chinese financial derivatives market are chosen. Necessary financial knowledge for classification task is finally extracted from the knowledge graph and merged into a multi-label text classification model. Experimental results on actual financial derivatives related data show that our method brings improvements compared to methods without label networks and methods without financial knowledge.

Citation Download Citation

Hongchao Ma, Yuefeng Lin, Zhongchen Miao, Jian Gao, and Jidong Lu "A financial derivatives related multi-label text classification algorithm based on financial knowledge graph", Proc. SPIE 12636, Third International Conference on Machine Learning and Computer Application (ICMLCA 2022), 126365C (25 May 2023); https://doi.org/10.1117/12.2675222

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