Forecasting Alpha Return from 8-K reports via deep learning
Conference Presentation, SDSC, Waco, Texas
In this study, we propose a novel machine learning approach with dimension reduction stacking to forecast the stock returns of the SP 500 companies by min-ing their SEC 8K reports via different NLP techniques. The proposed method achieves better forecasting performance than the peer methods and can be used as a concrete technology in security return analysis in practice.