New-Based NLP Algo-Trading

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).

Dataset

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.

References and Citations

@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",
}