Group, Extract and Aggregate: Summarizing a Large Amount of Finance News for Forex Movement Prediction
Table 2: Impact of selection number in each group in BHAM-Category. ∞ means keeping all news. The results have proven statistic significant.
['[EMPTY]', '[BOLD] USD-EUR', '[BOLD] USD-JPY', '[BOLD] USD-RMB', '[BOLD] USD-GBP']
The selection number in each group is an essential hyper-parameter to control the amount of extracted information. When the selection number is small (1,2), the model is too strict so that some crucial information will be missed. When the selection number is large (4,5), some less influential news will be selected and interfere model’s decision. When we keep all news in the group, the model’s performance declines by a large margin. This experiment demonstrates that the selection mechanism plays an important role in the proposed model.