Unsupervised Extraction of Market Moving Events with Neural Attention

We present a method to identify relevant events associated with stock price movements without manually labeled data. We train an attention-based neural network, which given a set of news headlines for a given time frame, predicts the price movement of a given stock index (i.e., DOWN, STAY, UP). An attention layer acts as an input selector; it computes a normalized weight for each headline embedding. The weighted average of the embeddings is used to predict the price movement. We present an analysis to understand if, after the network has been trained, the attention layer is capable of generating a global ranking of news events through its unnormalized weights. The ranking should be able to rank relevant financial events higher. In this initial study we use news categories as a proxy for relevance: news belonging to more relevant categories should be ranked higher. Our experiments on four indices suggest that there is an indication that the weights indeed skew the global set of events towards those categories that are more relevant to explain the price change; this effect reflects the performance of the network on stock prediction.