| 研究生: |
黃硯緯 Huang, Yen-Wei |
|---|---|
| 論文名稱: |
運用深度學習預測氣候相關財務揭露之分析 Using Deep Learning Approach to Build the TCFD Prediction Model |
| 指導教授: |
陳牧言
Chen, Mu-Yen |
| 學位類別: |
碩士 Master |
| 系所名稱: |
工學院 - 工程科學系 Department of Engineering Science |
| 論文出版年: | 2022 |
| 畢業學年度: | 111 |
| 語文別: | 中文 |
| 論文頁數: | 40 |
| 中文關鍵詞: | 深度學習 、氣候變遷 、語言模型 、財報預測 、文字分析 |
| 外文關鍵詞: | Deep Learning, Climate Change, Language Model, Financial forecast, Textual Analysis |
| 相關次數: | 點閱:156 下載:51 |
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文字預測一直是人們感興趣的熱門課題之一,也在近年來越來越流行。近期的許多研究使用深度學習進行財報的預測,也都各自獲得了不同的成果。以此為啟發,本研究使用深度學習(Deep Learning)自然語言處理(Natural Language Processing,NLP)建立一個財報的文字分析。利用卷積神經網路構成的深度強化學習來預測財報文字分析,並使用深度強化學習演算法來訓練。本研究選擇了金融預訓練模型(Financial Sentiment Analysis with BERT, FinBERT)、長短期記憶模型(Long Short-Term Memory ,LSTM) 、簡單循環網路 (Simple Recurrent Neural Network , SimpleRNN)、門控循環單元 (Gated Recurrent Unit, GRU)等多種深度學習演算法訓練模型來預測財報的感情指數以及準確率。本研究使用了多個深度學習模型框架,針對英文的財報進行檢測,並且根據不同的文字特徵選擇進行比較,透過使模型完整的學習每一類支持與反駁的文字特徵,進而準確的檢測是否支持。
隨後分別使用Task Force on Climate-Related Financial Disclosures (TCFD)數據集,以及使用資料平衡過後的數據集進行模擬。結果在使用FinBERT訓練的可達到了最高78%的準確率,另一方面SimpleRNN在資料平衡過後比為平衡前的準確率提高了10%。最後發現比較四個模型遞歸神經網路模型、長短期記憶模型、門控循環單元模型以及FinBERT,它的準確率為最高並且在未平衡數據集和平衡後的數據集中都有著更好的表現。本研究驗證了深度強化學習在文字預測上的潛力,提出一種可行的強化學習環境。在未來可以設計更貼合實務的模型,做為未來進一步發展人工智慧用於金融市場分析的參考。
This research proposes deep learning to predict financial forecast, and it has become more and more popular in recent years. This research uses Deep Learning (DL) Natural Language Processing (NLP) to establish a text analysis of financial statements. The deep learning composed of convolutional neural network is used to predict financial report text analysis, and the deep learning algorithm is used to train. In this research, it selected a variety of in-deep learning algorithm training models, such as Financial Sentence Analysis with BERT (FinBERT), Long Short-Term Memory (LSTM), Simple Recurrent Neural Network (SimpleRNN), Gated Recurrent Unit (GRU), to predict the emotional index and accuracy of financial reports.
This research uses multiple deep learning model frameworks to detect English financial statements and compares them according to different text features. By making the model complete to learn each type of supporting and refuting text features, it can accurately detect whether they are supported.
Subsequently, the simulation was performed using TCFD data sets and datasets after data balance. Finally, it proves that FinBERT has the highest accuracy when comparing the four models and has better performance in both datasets.
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