Learning target-specific representations of financial news documents for cumulative abnormal return prediction

Texts from the Internet serve as important data sources for financial market modeling. Early statistical approaches rely on manually defined features to capture lexical, sentiment and event information, which suffers from feature sparsity. Recent work has considered learning dense representations for news titles and abstracts. Compared to news titles, full documents can contain more potentially helpful information, but also noise compared to events and sentences, which has been less investigated in previous work. To fill this gap, we propose a novel target-specific abstract-guided news document representation model. The model uses a target-sensitive representation of the news abstract to weigh sentences in the news content, so as to select and combine the most informative sentences for market modeling. Results show that document representations can give better performance for estimating cumulative abnormal returns of companies when compared to titles and abstracts. Our model is especially effective when it used to combine information from multiple document sources compared to the sentence-level baselines.