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Construction of a news article evaluation model utilizing high-frequency data and a large-scale language generation model

Author

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  • Yoshihiro Nishi

    (Keio University)

  • Aiko Suge

    (Keio University)

  • Hiroshi Takahashi

    (Keio University)

Abstract

News articles have significant impacts on asset prices in financial markets. A great number of attempts have been conducted to ascertain how news articles influence stock prices. News articles have been reported to contain sentimental and fundamental information that affects stock price fluctuations, and many studies have been conducted to evaluate stock price fluctuations using them as analytical data. However, the limitations in the number of available datasets usually become the hurdle for the model accuracy. This study aims to improve the analytical model’s accuracy by generating news articles using language generation technology. We tested whether the model that used the generated data was better than the trained model with real-world data. The model constructed in this research is a model that evaluates news articles distributed to financial markets based on the price fluctuation rate of stock prices and predicts and evaluates stock price fluctuations. This study labeled based on high-frequency trading data and generated news articles using a large-scale language generation model (GPT-2). Also, we analyzed and verified the effect. In this study, we succeeded in generating news articles using the large-scale language generation model and improving the classification accuracy. Our method proposed in this paper has great potential to improve text analysis accuracy in various areas.

Suggested Citation

  • Yoshihiro Nishi & Aiko Suge & Hiroshi Takahashi, 2021. "Construction of a news article evaluation model utilizing high-frequency data and a large-scale language generation model," SN Business & Economics, Springer, vol. 1(8), pages 1-18, August.
    • Handle: RePEc:spr:snbeco:v:1:y:2021:i:8:d:10.1007_s43546-021-00106-0
    DOI: 10.1007/s43546-021-00106-0
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    References listed on IDEAS

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    1. Bitty Balducci & Detelina Marinova, 2018. "Unstructured data in marketing," Journal of the Academy of Marketing Science, Springer, vol. 46(4), pages 557-590, July.
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