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Risk Ranking from Financial Reports

  • Ming-Feng Tsai
  • Chuan-Ju Wang
Part of the Lecture Notes in Computer Science book series (LNCS, volume 7814)

Abstract

This paper attempts to use soft information in finance to rank the risk levels of a set of companies. Specifically, we deal with a ranking problem with a collection of financial reports, in which each report is associated with a company. By using text information in the reports, which is so-called the soft information, we apply learning-to-rank techniques to rank a set of companies to keep them in line with their relative risk levels. In our experiments, a collection of financial reports, which are annually published by publicly-traded companies, is employed to evaluate our ranking approach; moreover, a regression-based approach is also carried out for comparison. The experimental results show that our ranking approach not only significantly outperforms the regression-based one, but identifies some interesting relations between financial terms.

Keywords

Ranking Soft Information Volatility Financial Report 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2013

Authors and Affiliations

  • Ming-Feng Tsai
    • 1
  • Chuan-Ju Wang
    • 2
  1. 1.Department of Computer Science, Program in Digital Content & TechnologiesNational Chengchi UniversityTaipeiTaiwan
  2. 2.Department of Computer ScienceTaipei Municipal University of EducationTaipeiTaiwan

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