Algo-trading on corporate actions by leveraging NLP. A replicationa and enhancement of the paper: Trade the Event: Corporate Events Detection for News-Based Event-Driven Trading (Zhou et al., Findings 2021).
The EDT dataset has been borrowed from Zhou et al., Findings 2021. Dataset has all relevant Reuter, PRNewswire and Businesswire from 2020 to 2021 scraped by the authors - cite their paper if you wish to use it.
@inproceedings{zhou-etal-2021-trade,
title = "Trade the Event: Corporate Events Detection for News-Based Event-Driven Trading",
author = "Zhou, Zhihan and
Ma, Liqian and
Liu, Han",
editor = "Zong, Chengqing and
Xia, Fei and
Li, Wenjie and
Navigli, Roberto",
booktitle = "Findings of the Association for Computational Linguistics: ACL-IJCNLP 2021",
month = aug,
year = "2021",
address = "Online",
publisher = "Association for Computational Linguistics",
url = "https://aclanthology.org/2021.findings-acl.186",
doi = "10.18653/v1/2021.findings-acl.186",
pages = "2114--2124",
}