金融工程的 BERT 与 GPT

Edward Sharkey, Philip Treleaven
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引用次数: 0

摘要

本文对几个 Transformer 模型[4]进行了基准测试,以展示这些模型如何从新闻事件中判断情绪。这一信号可用于商品交易的下游建模和信号识别。我们发现,在这项任务中,经过微调的 BERT 模型优于经过微调的或普通的 GPT 模型。近年来,变换器模型彻底改变了自然语言处理(NLP)领域,在机器翻译、文本摘要、问题解答和自然语言生成等各种任务上取得了最先进的成果。其中最著名的变换器模型是变换器双向编码器表示(BERT)和生成预训练变换器(GPT),它们的架构和目标各不相同。本文提供了 CopBERT 模型的训练数据和过程概览。CopBERT 模型的性能优于类似的特定领域 BERT 训练模型,如 FinBERT。以下混淆矩阵分别显示了 CopBERT 和 CopGPT 的性能。我们看到,CopBERT 与 GPT4 相比,f1_score 提高了约 10%,与 CopGPT 相比,f1_score 提高了 16%。虽然 GPT4 在金融工程任务中占主导地位,但考虑到出现幻觉的风险和可解释性方面的挑战,这凸显了在金融工程任务中考虑 GPT 模型替代品的重要性。我们毫不意外地看到,大型 LLM 在预测能力方面优于 BERT 模型。总之,BERT 在一定程度上是新的 XGboost,它在预测能力方面的不足可以通过更高水平的可解释性来弥补。结论是,BERT 模型可能不会成为下一个 XGboost[2],但对于需要兼顾可解释性和准确性的金融工程任务来说,它是一个有趣的替代方案。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
BERT vs GPT for financial engineering
The paper benchmarks several Transformer models [4], to show how these models can judge sentiment from a news event. This signal can then be used for downstream modelling and signal identification for commodity trading. We find that fine-tuned BERT models outperform fine-tuned or vanilla GPT models on this task. Transformer models have revolutionized the field of natural language processing (NLP) in recent years, achieving state-of-the-art results on various tasks such as machine translation, text summarization, question answering, and natural language generation. Among the most prominent transformer models are Bidirectional Encoder Representations from Transformers (BERT) and Generative Pre-trained Transformer (GPT), which differ in their architectures and objectives. A CopBERT model training data and process overview is provided. The CopBERT model outperforms similar domain specific BERT trained models such as FinBERT. The below confusion matrices show the performance on CopBERT & CopGPT respectively. We see a ~10 percent increase in f1_score when compare CopBERT vs GPT4 and 16 percent increase vs CopGPT. Whilst GPT4 is dominant It highlights the importance of considering alternatives to GPT models for financial engineering tasks, given risks of hallucinations, and challenges with interpretability. We unsurprisingly see the larger LLMs outperform the BERT models, with predictive power. In summary BERT is partially the new XGboost, what it lacks in predictive power it provides with higher levels of interpretability. Concluding that BERT models might not be the next XGboost [2], but represent an interesting alternative for financial engineering tasks, that require a blend of interpretability and accuracy.
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