Numerical Claim Detection in Finance: A New Financial Dataset, Weak-Supervision Model, and Market Analysis
Abstract
In this paper, we investigate the influence of claims in analyst reports and earnings calls on financial market returns, considering them as significant quarterly events for publicly traded companies. To facilitate a comprehensive analysis, we construct a new financial dataset for the claim detection task in the financial domain. We benchmark various language models on this dataset and propose a novel weak-supervision model that incorporates the knowledge of subject matter experts (SMEs) in the aggregation function, outperforming existing approaches. We also demonstrate the practical utility of our proposed model by constructing a novel measure of optimism. Here, we observe the dependence of earnings surprise and return on our optimism measure. Our dataset, models, and code are publicly (under CC BY 4.0 license) available on GitHub.
Keywords
Cite
@article{arxiv.2402.11728,
title = {Numerical Claim Detection in Finance: A New Financial Dataset, Weak-Supervision Model, and Market Analysis},
author = {Agam Shah and Arnav Hiray and Pratvi Shah and Arkaprabha Banerjee and Anushka Singh and Dheeraj Eidnani and Sahasra Chava and Bhaskar Chaudhury and Sudheer Chava},
journal= {arXiv preprint arXiv:2402.11728},
year = {2024}
}
Comments
Accepted at The Seventh FEVER Workshop EMNLP 2024