Yuyu Fan (AllianceBernstein): "Leveraging Natural Language Processing for Stock Selection"

Abstract: With the explosive growth of text documents and the huge interest in text-mining techniques, investors are increasingly looking for natural language processing (NLP)-based features to provide an edge in stock selection. Although there has been an abundance of research on English documents, other languages have not seen the same attention. The authors apply these techniques to Chinese documents to generate features for stock selection strategies in the China A-shares market. They first introduce a novel dataset of Chinese broker research reports. The authors then provide an overview of the challenges in processing Chinese text data and detail the text-mining techniques they use to extract meaningful insights to separate outperformers from underperformers. They find that NLP models show significant promise in the Chinese Market, with various types of features carrying impactful information. Indeed, this research suggests that sentiment and complexity features are predictive of future stock performance. The authors also find that context-aware approaches using BERT-based models are superior to bag-of-words approaches. Finally, they show that combinations of complexity and sentiment features can yield even stronger results.

Speaker Bio: Yuyu Fan is a Principal Data Scientist at AllianceBernstein. She leads the development and implementation of advanced AI/ML/NLP models to meet critical business needs. Yuyu collaborates with various business units within the firm to transform business requirements into data-driven solutions. For instance, she leverages NLP to generate investment signals for portfolio managers and partners with the client team to create models that optimize sales processes. Prior to joining the firm in 2018, Yuyu, worked at the College Board as a psychometrician intern for two years, using machine learning models to monitor test validity, reliability, and security. Yuyu holds a BA in sociology from Zhejiang University (Hangzhou, China), MAs in sociology and psychology from Fordham University, and a Ph.D. in psychometrics and quantitative psychology from Fordham University. Location: New York.