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Group, Extract and Aggregate: Summarizing a Large Amount of Finance News for Forex Movement Prediction

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Figure

Figure 1: Average numbers per hour of forex relatednews from Reuters in 2013-2017. US EU representsnews related to US, Europe or both of them.
Figure 3: The BERT input in each news group.
Figure 4: The BHAM-Category model’s performances(macro-F1%) on USD-JPY pair under different con-ditions of input time and prediction delay
Table 1: Results of baselines and proposed methods on the test set (input time window is 40 minutes, and predictiondelay is 5 minutes, we observe similar result in other time settings)
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