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数据分析与知识发现  2023, Vol. 7 Issue (11): 1-13     https://doi.org/10.11925/infotech.2096-3467.2022.0928
  研究论文 本期目录 | 过刊浏览 | 高级检索 |
融合知识关联与时序传导的金融舆情风险预测模型*
陈昊冉1,2,洪亮1,2()
1武汉大学信息管理学院 武汉 430072
2武汉大学大数据研究院 武汉 430072
Financial Public Opinion Risk Prediction Model Integrating Knowledge Association and Temporal Transmission
Chen Haoran1,2,Hong Liang1,2()
1School of Information Management, Wuhan University, Wuhan 430072, China
2Big Data Institute, Wuhan University, Wuhan 430072, China
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摘要 

目的】 融合公司产业链信息学习针对特定公司的新闻表示,利用新闻表示以及公司间关联提升目标公司舆情风险预测效果。【方法】 首先基于注意力机制与Bi-LSTM将公司关联知识嵌入金融新闻文本中,学习针对特定公司的金融新闻表示;然后基于公司间知识关联将金融新闻序列组织成新闻风险传导网络;最后利用时序图注意力网络建模新闻风险信息,通过公司间关联在时序上的传导模式并对风险信息聚合,预测目标公司的金融舆情风险。【结果】 实验结果表明,在金融舆情风险预测任务上,本文方法的准确率达到0.624 6,AUC达到0.702 1,均优于基准方法。【局限】 模型仅使用了上市公司间股票的统计知识关联,未使用公司间其他类型知识关联。【结论】 本文方法能够有效地从金融新闻中学习目标企业相关的风险信息,以及舆情风险在公司关联中和随时间的传导特征,具有良好的金融风险预测性能。

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陈昊冉
洪亮
关键词 知识关联文本挖掘金融风险预测时序图神经网络注意力机制    
Abstract

[Objective] This paper studies financial news representations and the supply chain characteristics of particular companies. Then it utilizes these representations and inter-company associations to improve the prediction of public opinion risks for the target company. [Methods] Firstly, we embedded the company association knowledge into financial news texts based on attention mechanism and Bi-LSTM to learn financial news representation to a specific company. Secondly, we organized the financial news sequence into a news risk transmission network based on inter-company knowledge association. Finally, we used the TGAT layer to model the temporal transmission patterns of risk information through inter-company association and aggregate the risk information to predict the financial public opinion risk of the target company. [Results] The proposed method achieved an accuracy of 0.6246 and an AUC of 0.7021 in the financial public opinion risk prediction task, outperforming the baseline methods. [Limitations] The new model only uses the statistical knowledge associations between stocks of the listed companies and does not incorporate other types of inter-company knowledge associations. [Conclusions] The proposed model can effectively learn risk information relevant to the target company from financial news and the temporal transmission characteristics of public opinion risk in inter-company associations. It demonstrates good financial risk prediction performance.

Key wordsKnowledge Association    Text Mining    Financial Risk Prediction    Temporal Graph Neural Networks    Attention Mechanism
收稿日期: 2022-09-02      出版日期: 2023-03-28
ZTFLH:  TP391 G353  
基金资助:*国家自然科学基金面上项目的研究成果之一(72074172)
通讯作者: 洪亮,ORCID:0000-0002-1466-9843,E-mail: hong@whu.edu.cn。   
引用本文:   
陈昊冉, 洪亮. 融合知识关联与时序传导的金融舆情风险预测模型*[J]. 数据分析与知识发现, 2023, 7(11): 1-13.
Chen Haoran, Hong Liang. Financial Public Opinion Risk Prediction Model Integrating Knowledge Association and Temporal Transmission. Data Analysis and Knowledge Discovery, 2023, 7(11): 1-13.
链接本文:  
https://manu44.magtech.com.cn/Jwk_infotech_wk3/CN/10.11925/infotech.2096-3467.2022.0928      或      https://manu44.magtech.com.cn/Jwk_infotech_wk3/CN/Y2023/V7/I11/1
Fig.1  安邦保险案例分析
Fig.2  模型整体框架
Fig.3  风险信息传导网络构建示例
Fig.4  时序图神经网络层架构
对应标签 训练集 验证集 测试集
+CAR_3 48 706 5 174 10 183
-CAR_3 46 178 4 769 9 707
Table 1  新闻数据集统计情况
模型 Accuracy AUC AP(+) AP(-)
Bi-LSTM 0.585 4 0.624 5 0.598 6 0.572 5
TD-AVG 0.589 4 0.638 4 0.612 9 0.570 3
TD-AGSC 0.594 2 0.640 7 0.609 2 0.580 1
TD-BIEH(Ours) 0.601 9 0.651 4 0.600 0 0.604 4
TD-GCN 0.581 0 0.590 8 0.622 2 0.584 2
TD-Transformer 0.614 7 0.676 5 0.697 4 0.644 6
TD-GraphSAGE 0.616 1 0.680 9 0.696 0 0.643 6
TD-BIEH-T(Ours) 0.624 6 0.702 1 0.737 4 0.681 8
Table2  各模型在测试集上表现
阶段 模型 Accuracy AUC AP(+CAR3 AP(-CAR3
金融新闻表示 Ours 0.601 9 0.651 4 0.600 0 0.604 4
Ours w/o BERT 0.594 9 0.643 6 0.607 4 0.582 6
Ours w/o industry-BERT 0.597 3 0.648 2 0.589 5 0.609 7
Ours w/o industry-TransH 0.598 1 0.646 5 0.590 9 0.609 2
新闻风险传导 Ours 0.624 6 0.702 1 0.737 4 0.681 8
Ours w/o time-emb 0.623 8 0.677 1 0.711 3 0.631 8
Ours w/o edge-attr 0.602 9 0.690 4 0.730 0 0.668 9
Table 3  消融实验结果
Fig.5  图注意力层数的敏感度分析结果
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