arXiv subjects

Agam Shah

Publications and source records attributed to Agam Shah.

23 records · Page 2Linked to original sources

arXiv2023

Trillion Dollar Words: A New Financial Dataset, Task & Market Analysis

Monetary policy pronouncements by Federal Open Market Committee (FOMC) are a major driver of financial market returns. We construct the largest tokenized and annotated dataset of FOMC speeches, meeting minutes, and press conference transcripts in order to understand how monetary policy influences financial markets. In this study, we develop a novel task of hawkish-dovish classification and benchmark various pre-trained language models on the proposed dataset. Using the best-performing model (RoBERTa-large), we construct a measure of monetary policy stance for the FOMC document release days. To evaluate the constructed measure, we study its impact on the treasury market, stock market, and macroeconomic indicators. Our dataset, models, and code are publicly available on Huggingface and GitHub under CC BY-NC 4.0 license.

cs.CL↗

arXiv2023

The Universal NFT Vector Database: A Scaleable Vector Database for NFT Similarity Matching

Non-Fungible Tokens (NFTs) are a type of digital asset that represents a proof of ownership over a particular digital item such as art, music, or real estate. Due to the non-fungible nature of NFTs, duplicate tokens should not possess the same value. However, with the surge of new blockchains and a massive influx of NFTs being created, a wealth of NFT data is being generated without a method of tracking similarity. This enables people to create almost identical NFTs by changing one pixel or one byte of data. Despite the similarity among NFTs, each NFT is assigned a completely different token ID. To address the NFT duplication issue, we developed a modular, easily-extendable, hardware-agnostic, cloud-centered NFT processing system that represents NFTs as vectors. We established a database containing a vector representation of the NFTs in accordance with the Ethereum Request for Comment 721 (ERC-721) token standards to initiate the process of aggregating NFT data from various blockchains. Finally, we developed an NFT visualization dashboard application with a user-friendly graphical user interface (GUI) to provide non-technical users access to the aggregated NFT data. The Universal NFT Vector Database is an off-chain framework for NFT data aggregation based on similarity, which provides an organized way to query and analyze NFT data that was previously unavailable through on-chain solutions.

cs.DB↗

arXiv2022

Benchmarking Machine Learning Models to Predict Corporate Bankruptcy

Using a comprehensive sample of 2,585 bankruptcies from 1990 to 2019, we benchmark the performance of various machine learning models in predicting financial distress of publicly traded U.S. firms. We find that gradient boosted trees outperform other models in one-year-ahead forecasts. Variable permutation tests show that excess stock returns, idiosyncratic risk, and relative size are the more important variables for predictions. Textual features derived from corporate filings do not improve performance materially. In a credit competition model that accounts for the asymmetric cost of default misclassification, the survival random forest is able to capture large dollar profits.

q-fin.CP↗

arXiv2022

WHEN FLUE MEETS FLANG: Benchmarks and Large Pre-trained Language Model for Financial Domain

Pre-trained language models have shown impressive performance on a variety of tasks and domains. Previous research on financial language models usually employs a generic training scheme to train standard model architectures, without completely leveraging the richness of the financial data. We propose a novel domain specific Financial LANGuage model (FLANG) which uses financial keywords and phrases for better masking, together with span boundary objective and in-filing objective. Additionally, the evaluation benchmarks in the field have been limited. To this end, we contribute the Financial Language Understanding Evaluation (FLUE), an open-source comprehensive suite of benchmarks for the financial domain. These include new benchmarks across 5 NLP tasks in financial domain as well as common benchmarks used in the previous research. Experiments on these benchmarks suggest that our model outperforms those in prior literature on a variety of NLP tasks. Our models, code and benchmark data are publicly available on Github and Huggingface.

cs.CL↗

arXiv2017

Deep Reinforcement Learning for Conversational AI

Deep reinforcement learning is revolutionizing the artificial intelligence field. Currently, it serves as a good starting point for constructing intelligent autonomous systems which offer a better knowledge of the visual world. It is possible to scale deep reinforcement learning with the use of deep learning and do amazing tasks such as use of pixels in playing video games. In this paper, key concepts of deep reinforcement learning including reward function, differences between reinforcement learning and supervised learning and models for implementation of reinforcement are discussed. Key challenges related to the implementation of reinforcement learning in conversational AI domain are identified as well as discussed in detail. Various conversational models which are based on deep reinforcement learning (as well as deep learning) are also discussed. In summary, this paper discusses key aspects of deep reinforcement learning which are crucial for designing an efficient conversational AI.

cs.AI↗