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Anais do II Brazilian Workshop on Artificial Intelligence in Finance (BWAIF 2023)最新文献

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Multistage, Multiswarm Particle Swarm Optimization for Investment Portfolio Selection 投资组合选择的多阶段多群粒子群优化
Anais do II Brazilian Workshop on Artificial Intelligence in Finance (BWAIF 2023) Pub Date : 2023-08-06 DOI: 10.5753/bwaif.2023.230652
Thales F. Dal Molim, Francisco Carlos M. Souza
{"title":"Multistage, Multiswarm Particle Swarm Optimization for Investment Portfolio Selection","authors":"Thales F. Dal Molim, Francisco Carlos M. Souza","doi":"10.5753/bwaif.2023.230652","DOIUrl":"https://doi.org/10.5753/bwaif.2023.230652","url":null,"abstract":"This study proposes a new metaheuristic-based approach, identified in the literature as MS2PSO, to solve the problem of investment portfolio selection in the Brazilian stock market. The study was divided into two experiments that evaluated the quality of the solutions obtained by the algorithm and the effectiveness of the recommended portfolios in different time windows and risk profiles. The results indicated that MS2PSO presented slower convergence but offered more satisfactory results compared to PSO. In addition, the portfolios recommended by the proposed method showed positive and negative performances according to the risk profile, and all of them outperformed the benchmark in terms of the overall highest gain obtained during the period. This study contributes to the development of the area of finance and economics by providing a sophisticated and efficient solution for investment portfolio selection.","PeriodicalId":101527,"journal":{"name":"Anais do II Brazilian Workshop on Artificial Intelligence in Finance (BWAIF 2023)","volume":"93 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-08-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117300687","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
GreenAI – An NLP approach to ESG financing GreenAI——ESG融资的NLP方法
Anais do II Brazilian Workshop on Artificial Intelligence in Finance (BWAIF 2023) Pub Date : 2023-08-06 DOI: 10.5753/bwaif.2023.229922
Nicolaas Ruberg, Rafael B. Pereira, Mauro L. Stein
{"title":"GreenAI – An NLP approach to ESG financing","authors":"Nicolaas Ruberg, Rafael B. Pereira, Mauro L. Stein","doi":"10.5753/bwaif.2023.229922","DOIUrl":"https://doi.org/10.5753/bwaif.2023.229922","url":null,"abstract":"Environmental, Social, and Governance (ESG) factors are critical for investors and financing institutions like the Brazilian Development Bank (BNDES). Such institutions are currently working on setting up a framework to assess companies' ESG factors in their financing evaluation. In this study, we identify an opportunity to use Natural Language Processing (NLP) to improve the framework. This opportunity stems from the fact that the key documents for ESG analysis, such as the company's activity report (RAA), Environmental Impact Study (EIA), and Environmental Impact Report (RIMA), undergo manual screening and decomposition whilst being analyzed by specialists. By incorporating NLP, we aim to automate the classification of text passages from these reports and enhance the efficiency of the analysis process.","PeriodicalId":101527,"journal":{"name":"Anais do II Brazilian Workshop on Artificial Intelligence in Finance (BWAIF 2023)","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-08-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129803890","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
POE: A General Portfolio Optimization Environment for FinRL POE:面向FinRL的通用投资组合优化环境
Anais do II Brazilian Workshop on Artificial Intelligence in Finance (BWAIF 2023) Pub Date : 2023-08-06 DOI: 10.5753/bwaif.2023.231144
Caio de Souza Barbosa Costa, Anna Helena Reali Costa
{"title":"POE: A General Portfolio Optimization Environment for FinRL","authors":"Caio de Souza Barbosa Costa, Anna Helena Reali Costa","doi":"10.5753/bwaif.2023.231144","DOIUrl":"https://doi.org/10.5753/bwaif.2023.231144","url":null,"abstract":"Portfolio optimization is a common task in financial markets in which a manager rebalances the invested assets in the portfolio periodically aiming to make a profit, minimize losses and maximize long-term returns. Due to their great adaptability, Reinforcement Learning (RL) techniques are considered convenient for this task but, despite RL’s great results, there is a lack of standardization related to simulation environments. In this paper, we present an RL environment for the portfolio optimization problem based on state-of-the-art mathematical formulations. The environment aims to be easy-to-use, very customizable, and have integrations with modern RL frameworks.","PeriodicalId":101527,"journal":{"name":"Anais do II Brazilian Workshop on Artificial Intelligence in Finance (BWAIF 2023)","volume":"236 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-08-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121479754","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Aplicando algoritmos de clusterização para encontrar inconsistências em bases de dados fiscais 应用聚类算法发现财政数据库中的不一致
Anais do II Brazilian Workshop on Artificial Intelligence in Finance (BWAIF 2023) Pub Date : 2023-08-06 DOI: 10.5753/bwaif.2023.230762
V. Queiroz, L. Furtado, Vládia Pinheiro
{"title":"Aplicando algoritmos de clusterização para encontrar inconsistências em bases de dados fiscais","authors":"V. Queiroz, L. Furtado, Vládia Pinheiro","doi":"10.5753/bwaif.2023.230762","DOIUrl":"https://doi.org/10.5753/bwaif.2023.230762","url":null,"abstract":"Ainda que os dados sobre a propriedade estejam cada vez mais digitalizados, os registros ainda incluem informações desatualizadas advindas de bases de dados historicamente inconsistentes. Os registros de propriedade antigos são automaticamente inseridos em novos formatos digitais, ficando em conflito com campos e bases atuais mais padronizadas. Tal é o caso do banco de imóveis de Fortaleza, onde este estudo se baseia. Esse artigo apresenta como algoritmos de agrupamento podem ajudar a encontrar inconsistências nas bases prediais. Os resultados estimam que 2.048 registros prediais estejam inconsistentes, necessitando limpeza e correção.","PeriodicalId":101527,"journal":{"name":"Anais do II Brazilian Workshop on Artificial Intelligence in Finance (BWAIF 2023)","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-08-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123320687","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Buying and Selling Decision in the Brazilian Stock Exchange Financial Market by a Neo Fuzzy Neuron (NFN) Applied to the Hurwicz Criterion 应用于赫维奇准则的新模糊神经元(NFN)在巴西证券交易所金融市场的买卖决策
Anais do II Brazilian Workshop on Artificial Intelligence in Finance (BWAIF 2023) Pub Date : 2023-08-06 DOI: 10.5753/bwaif.2023.230686
Gabriel S. Rosa, P. H. Pereira, Alisson Marques da Silva, C. C. Resende
{"title":"Buying and Selling Decision in the Brazilian Stock Exchange Financial Market by a Neo Fuzzy Neuron (NFN) Applied to the Hurwicz Criterion","authors":"Gabriel S. Rosa, P. H. Pereira, Alisson Marques da Silva, C. C. Resende","doi":"10.5753/bwaif.2023.230686","DOIUrl":"https://doi.org/10.5753/bwaif.2023.230686","url":null,"abstract":"This work introduces an approach for making decisions on buying and selling stocks in the Brazilian Stock Exchange to maximize profits in each operation. The proposed approach was built using the Neo-Fuzzy-Neuron (NFN) network to predict the future value of stocks and the Hurwicz criterion for decision analysis under risk and uncertainty, considering different degrees of optimism and pessimism. The approach was applied to Petrobras stocks (PETR4), and the results obtained were compared with the ”buy and hold”strategy. The computational results and comparisons suggest that the proposed approach is promising and provides a significant return on investment","PeriodicalId":101527,"journal":{"name":"Anais do II Brazilian Workshop on Artificial Intelligence in Finance (BWAIF 2023)","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-08-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123350650","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Prediction of Stock Price Time Series using Transformers 用变压器预测股票价格时间序列
Anais do II Brazilian Workshop on Artificial Intelligence in Finance (BWAIF 2023) Pub Date : 2023-08-06 DOI: 10.5753/bwaif.2023.230239
L. D. Costa, A. Machado
{"title":"Prediction of Stock Price Time Series using Transformers","authors":"L. D. Costa, A. Machado","doi":"10.5753/bwaif.2023.230239","DOIUrl":"https://doi.org/10.5753/bwaif.2023.230239","url":null,"abstract":"This work presents an implementation of the Transformer on the problem of predicting stock prices from time series. The model is compared with ARIMA and a neural network with LSTM cells. We hypothesize that, due to the powerful memory capacity and association between series values, the Transformer would be able to achieve better results than other shallow or deep solutions. The data used in the experiments is the average daily prices of 8 shares of the Ibovespa index in the period of 2008. The obtained results corroborated the hypothesis of superiority of the Transformer which predicted the stock prices with higher accuracy in 60% of the times.","PeriodicalId":101527,"journal":{"name":"Anais do II Brazilian Workshop on Artificial Intelligence in Finance (BWAIF 2023)","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-08-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123406030","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
FinBERT-PT-BR: Análise de Sentimentos de Textos em Português do Mercado Financeiro FinBERT- en -BR:金融市场葡萄牙语文本的情感分析
Anais do II Brazilian Workshop on Artificial Intelligence in Finance (BWAIF 2023) Pub Date : 2023-08-06 DOI: 10.5753/bwaif.2023.231151
Lucas L. Santos, R. A. C. Bianchi, Anna Helena Reali Costa
{"title":"FinBERT-PT-BR: Análise de Sentimentos de Textos em Português do Mercado Financeiro","authors":"Lucas L. Santos, R. A. C. Bianchi, Anna Helena Reali Costa","doi":"10.5753/bwaif.2023.231151","DOIUrl":"https://doi.org/10.5753/bwaif.2023.231151","url":null,"abstract":"Este artigo contribui com um modelo de análise de sentimento para notícias financeiras em língua portuguesa usando a arquitetura de rede neural BERT. O modelo foi treinado em duas etapas: modelagem de linguagem e modelagem de sentimentos, com 1,4 milhão de textos e 500 textos rotulados, respectivamente. O modelo apresentou melhor desempenho do que os modelos atuais do estado da arte em diversas métricas e pode ser usado para construir índices de sentimento, estratégias de investimento e analisar dados macroeconômicos. O estudo demonstra o potencial do processamento de linguagem natural e transformers para finanças quantitativas.","PeriodicalId":101527,"journal":{"name":"Anais do II Brazilian Workshop on Artificial Intelligence in Finance (BWAIF 2023)","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-08-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121999403","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Hierarchical Classification of Financial Transactions Through Context-Fusion of Transformer-based Embeddings and Taxonomy-aware Attention Layer 基于变压器嵌入和分类感知关注层的金融交易分层分类
Anais do II Brazilian Workshop on Artificial Intelligence in Finance (BWAIF 2023) Pub Date : 2023-08-06 DOI: 10.5753/bwaif.2023.229322
A. Busson, Rafael H. Rocha, Rennan Gaio, Rafael Miceli, Ivan Pereira, D. D. S. Moraes, S. Colcher, Á. Veiga, Bruno Rizzi, Francisco Evangelista, Leandro Santos, Fellipe Marques, Marcos Rabaioli, Diego Feldberg, Debora Mattos, João Pasqua, Diogo G. Dias
{"title":"Hierarchical Classification of Financial Transactions Through Context-Fusion of Transformer-based Embeddings and Taxonomy-aware Attention Layer","authors":"A. Busson, Rafael H. Rocha, Rennan Gaio, Rafael Miceli, Ivan Pereira, D. D. S. Moraes, S. Colcher, Á. Veiga, Bruno Rizzi, Francisco Evangelista, Leandro Santos, Fellipe Marques, Marcos Rabaioli, Diego Feldberg, Debora Mattos, João Pasqua, Diogo G. Dias","doi":"10.5753/bwaif.2023.229322","DOIUrl":"https://doi.org/10.5753/bwaif.2023.229322","url":null,"abstract":"This work proposes the Two-headed DragoNet, a Transformer-based model for hierarchical multi-label classification of financial transactions. Our model is based on a stack of Transformers encoder layers that generates contextual embeddings from two short textual descriptors (merchant name and business activity), followed by a Context Fusion layer and two output heads that classify transactions according to a hierarchical two-level taxonomy (macro and micro categories). Finally, our proposed Taxonomy-aware Attention Layer corrects predictions that break categorical hierarchy rules defined in the given taxonomy. Our proposal outperforms classical machine learning methods in experiments of macro-category classification by achieving an F1-score of 93% on a card dataset and 95% on a current account dataset.","PeriodicalId":101527,"journal":{"name":"Anais do II Brazilian Workshop on Artificial Intelligence in Finance (BWAIF 2023)","volume":"48 22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-08-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128152631","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Short-term prediction for Ethereum with Deep Neural Networks and Statistical Validation Tests 基于深度神经网络和统计验证测试的以太坊短期预测
Anais do II Brazilian Workshop on Artificial Intelligence in Finance (BWAIF 2023) Pub Date : 2023-08-06 DOI: 10.5753/bwaif.2023.229136
Eduardo José Costa Lopes, R. Bianchi
{"title":"Short-term prediction for Ethereum with Deep Neural Networks and Statistical Validation Tests","authors":"Eduardo José Costa Lopes, R. Bianchi","doi":"10.5753/bwaif.2023.229136","DOIUrl":"https://doi.org/10.5753/bwaif.2023.229136","url":null,"abstract":"Cryptocurrency has become a popular asset in global financial markets, meaning that individual investors and asset management companies worldwide are considering this new investment class. The main contribution of this research is to address an intra-day forecasting problem with hourly granularity by comparing deep network architectures, including ones with attention mechanisms for the Ethereum intrinsic cryptocurrency (ETH). Since variations on the deep learning model parameter values may also introduce variability in the results produced by the models, different statistical validations were considered part of the comparison process. Finally, this work shows that the Temporal Convolutional Network model (TCN) outperformed other architectures considered for a short-term forecast period in terms of processing time. The TCN deep learning model is also amongst the most accurate models, using an auto-regressive integrated moving average model (ARIMA) as a baseline.","PeriodicalId":101527,"journal":{"name":"Anais do II Brazilian Workshop on Artificial Intelligence in Finance (BWAIF 2023)","volume":"49 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-08-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122565878","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
An Intelligent Model for Generating Indications of Tax Gap in Service Companies 服务业企业税收差距的智能生成模型
Anais do II Brazilian Workshop on Artificial Intelligence in Finance (BWAIF 2023) Pub Date : 2023-08-06 DOI: 10.5753/bwaif.2023.230149
Wellington Franco, E. Alves, Fábio Sousa, Zairo Bastos, V. Pinheiro
{"title":"An Intelligent Model for Generating Indications of Tax Gap in Service Companies","authors":"Wellington Franco, E. Alves, Fábio Sousa, Zairo Bastos, V. Pinheiro","doi":"10.5753/bwaif.2023.230149","DOIUrl":"https://doi.org/10.5753/bwaif.2023.230149","url":null,"abstract":"Tax gap is still one of the main problems of the Brazilian Tax Administration. In the case of the Service Tax (ISS), recognizing and estimating the tax loss becomes more difficult, as the ISS is a self-assessing tax and the services provided are volatile and cannot be verified after delivery. Aiming to promote tax self-regulation by service companies, this paper proposes a model for generating indications of tax gap, based on forecasting costs and arbitrating the billing of such companies. The model is composed by a committee of Artificial Intelligence (AI) and Data Science (CD) algorithms that infer a probability of a given company presenting outlier behavior. The differential of the model is the possibility of inferring such indications even in the absence of data on the costs of companies. The evaluation of the proposed model was carried out in a case study in the city of Fortaleza. As a result of the experiment, 1,839 service companies, contained in a universe of 22,071 companies, were recognized with strong indication of tax gap, resulting in loss of ISS tax revenue calculated at approximately R$ 10 million.","PeriodicalId":101527,"journal":{"name":"Anais do II Brazilian Workshop on Artificial Intelligence in Finance (BWAIF 2023)","volume":"398 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-08-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133464054","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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