BERT (Bidirectional Encoder Representations from Transformers) is one of the most popular models in Natural Language Processing (NLP) for Sentiment Analysis. The main goal is to classify sentences (or entire texts) and to obtain a score in relation to their po-larity: positive, negative or neutral. Recently, a Transformer-based architecture, the fine-tuned AlBERTo (Polignano et al. (2019)), has been introduced to determine a sentiment score in the financial sector through a specialized corpus of sentences. In this paper, we use the sentiment (polarity) score to improve the stocks forecasting. We apply the BERT model to determine the score associated to various events (both positive and negative) that have affected some stocks in the market. The sentences used to determine the scores are newspaper articles published on MilanoFinanza. We compute both the average senti-ment score and the polarity, and we use a Monte Carlo method to generate (starting from the day the article was released) a series of possible paths for the next trading days, ex-ploiting the Bayesian inference to determine a new series of bounded drift and volatility values on the basis of the score; thus, returning an exact and direct price as a result.
AIBERTINO FOR STOCK PRICE PREDICTION: A GIBBS SAMPLING APPROACH
LUCA GRILLI;
2023-01-01
Abstract
BERT (Bidirectional Encoder Representations from Transformers) is one of the most popular models in Natural Language Processing (NLP) for Sentiment Analysis. The main goal is to classify sentences (or entire texts) and to obtain a score in relation to their po-larity: positive, negative or neutral. Recently, a Transformer-based architecture, the fine-tuned AlBERTo (Polignano et al. (2019)), has been introduced to determine a sentiment score in the financial sector through a specialized corpus of sentences. In this paper, we use the sentiment (polarity) score to improve the stocks forecasting. We apply the BERT model to determine the score associated to various events (both positive and negative) that have affected some stocks in the market. The sentences used to determine the scores are newspaper articles published on MilanoFinanza. We compute both the average senti-ment score and the polarity, and we use a Monte Carlo method to generate (starting from the day the article was released) a series of possible paths for the next trading days, ex-ploiting the Bayesian inference to determine a new series of bounded drift and volatility values on the basis of the score; thus, returning an exact and direct price as a result.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
