Abstract
Earnings conference calls are indicative information events for volatility forecasting, which is essential for financial risk management and asset pricing. Although recent volatility forecasting models have explored the textual content of conference calls for prediction, they suffer from modeling the long-text and representing the risk-relevant information. This work proposes to identify key sentences for robust and interpretable transcript representation learning based on the cognitive theory. Specifically, we introduce TextRank to find key sentences and leverage attention mechanism to screen out the candidates by modeling the semantic correlations. Upon on the structural information of earning conference calls, we propose a structure-based contrastive learning method to facilitate the effective transcript representation. Empirical results on the benchmark dataset demonstrate the superiority of our model over competitive baselines in volatility forecasting.
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More From: Proceedings of the AAAI Conference on Artificial Intelligence
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