Multi-Modal Recommendation System with Auxiliary Information

Context-aware recommendation systems improve upon classical recommender systems by including, in the modelling, a user's behaviour. Research into context-aware recommendation systems has previously only considered the sequential ordering of items as contextual information. However, there is a wealth of unexploited additional multi-modal information available in auxiliary knowledge related to items. This study extends the existing research by evaluating a multi-modal recommendation system that exploits the inclusion of comprehensive auxiliary knowledge related to an item. The empirical results explore extracting vector representations (embeddings) from unstructured and structured data using data2vec. The fused embeddings are then used to train several state-of-the-art transformer architectures for sequential user-item representations. The analysis of the experimental results shows a statistically significant improvement in prediction accuracy, which confirms the effectiveness of including auxiliary information in a context-aware recommendation system. We report a 4% and 11% increase in the NDCG score for long and short user sequence datasets, respectively.

Fusion of Sentiment and Asset Price Predictions for Portfolio Optimization

The fusion of public sentiment data in the form of text with stock price prediction is a topic of increasing interest within the financial community. However, the research literature seldom explores the application of investor sentiment in the Portfolio Selection problem. This paper aims to unpack and develop an enhanced understanding of the sentiment aware portfolio selection problem. To this end, the study uses a Semantic Attention Model to predict sentiment towards an asset. We select the optimal portfolio through a sentiment-aware Long Short Term Memory (LSTM) recurrent neural network for price prediction and a mean-variance strategy. Our sentiment portfolio strategies achieved on average a significant increase in revenue above the non-sentiment aware models. However, the results show that our strategy does not outperform traditional portfolio allocation strategies from a stability perspective. We argue that an improved fusion of sentiment prediction with a combination of price prediction and portfolio optimization leads to an enhanced portfolio selection strategy.