Award/Availability

Open Access Honors Program Thesis

First Advisor

Paul Gray

Abstract

The U.S. Securities and Exchange Commission (SEC) maintains a publicly-accessible database of all required filings of all publicly traded companies. Known as EDGAR (Electronic Data Gathering, Analysis, and Retrieval), this database contains documents ranging from annual reports of major companies to personal disclosures of senior managers. However, the common user and particularly the retail investor are overwhelmed by the deluge of information, not empowered. EDGAR as it currently functions entrenches the information asymmetry between these retail investors and the large financial institutions with which they often trade. With substantial research staffs and budgets coupled to an industry standard of “playing both sides” of a transaction, these investors “in the know” lead price fluctuations while others must follow.

In general, this thesis applies recent technological advancements to the development of software tools that will derive valuable insights from EDGAR documents in an efficient time period. While numerous such commercial products currently exist, all come with significant price tags and many still rely on significant human involvement in deriving such insights. Recent years, however, have seen an explosion in the fields of Machine Learning (ML) and Natural Language Processing (NLP), which show promise in automating many of these functions with greater efficiency. ML aims to develop software which learns parameters from large datasets as opposed to traditional software which merely applies a programmer’s logic. NLP aims to read, understand, and generate language naturally, an area where recent ML advancements have proven particularly adept.

Specifically, this thesis serves as an exploratory study in applying recent advancements in ML and NLP to the vast range of documents contained in the EDGAR database. While algorithms will likely never replace the hordes of research analysts that now saturate securities markets nor the advantages that accrue to large and diverse trading desks, they do hold the potential to provide small yet significant insights at little cost.

This study first examines methods for document acquisition from EDGAR with a focus on a baseline efficiency sufficient for the real-time trading needs of market participants. Next, it applies recent advancements in ML and NLP, specifically recurrent neural networks, to the task of standardizing financial statements across different filers. Finally, the conclusion contextualizes these findings in an environment of continued technological and commercial evolution.

Date of Award

2017

Department

Department of Computer Science

University Honors Designation

A thesis submitted in partial fulfillment of the requirements for the designation University Honors

Date Original

2017

Object Description

1 PDF file (44 pages)

Language

EN

File Format

application/pdf

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