2 ms·
Predicting good news using regulatory disclosure patterns, Python, SEC
I was curious if I could use insider trading patterns to predict whether the sentiment of 8-K filings were positive or negative.
https://github.com/john-friedman/datamule-python/blob/experimental/examples/predicting-good-news-from-insider-trading/exploration.ipynb
Doesn't look like it - not enough data. However, there is an interesting result. Trading behavior after a positive 8-K is very different for insiders. They wait to sell, possibly to let good news trickle out.
https://github.com/john-friedman/datamule-python/blob/experimental/examples/predicting-good-news-from-insider-trading/plots/sell-side.png
I'm considering looking at companies using their entire corpus of filings (e.g. 10-K to IRAN NOTICE) for a year and applying finbert for another try, but it seems expensive in terms of compute.
I've mostly solved the download problem by hosting my own SEC archive - it takes about 45 minutes to download 50,000 8-Ks and 150,000 Form 4s (1 year), but compute seems harder.
I used Loughran McDonald dictionaries to do the sentiment parsing - took about an hour, so I imagine applying finbert on a larger corpus would take weeks on my laptop.
Not sure if there's a better option?
- gnabgib 2y agoYou might be over doing the self-promo here. Please don't use HN primarily for promotion. It's ok to post your own stuff part of the time, but the primary use of the site should be for curiosity. https://news.ycombinator.com/newsguidelines.html https://news.ycombinator.com/newsguidelines.html 1 day ago: https://news.ycombinator.com/item?id=42603786 https://news.ycombinator.com/item?id=42603786 3 days ago: https://news.ycombinator.com/item?id=42591846 https://news.ycombinator.com/item?id=42591846 7 days ago: https://news.ycombinator.com/item?id=42551711 https://news.ycombinator.com/item?id=42551711 14 days ago: https://news.ycombinator.com/item?id=42496442 https://news.ycombinator.com/item?id=42496442 https://news.ycombinator.com/item?id=42492324 https://news.ycombinator.com/item?id=42492324 (several skipped) 84 days ago: https://news.ycombinator.com/item?id=41841444 https://news.ycombinator.com/item?id=41841444 85 days ago: https://news.ycombinator.com/item?id=41833282 https://news.ycombinator.com/item?id=41833282 3 months ago: https://news.ycombinator.com/item?id=41541603 https://news.ycombinator.com/item?id=41541603 https://news.ycombinator.com/item?id=41505769 https://news.ycombinator.com/item?id=41505769
- jgfriedman1999 2y agoGotcha. I mostly lurk on other people's posts, and post the stuff I'm working on. If the frequency is too much, I'll lower it. Thank you for the gentle advice. Appreciate it.