# Discovering material information using hierarchical Reformer model on financial regulatory filings

arXiv: https://arxiv.org/abs/2204.05979 · HTML: https://mlsanity.com/paper/2204.05979/

## Key facts

- No citing papers in the map yet (data through 14 Oct 2026).
- Builds on 14 of its 35 references that are in the map.
- First posted on arXiv 28 Mar 2022.

## Builds on (most cited first, 14 of 14)

- [Attention Is All You Need](https://mlsanity.com/paper/1706.03762/) (2017)
- [BERT: Pre-training of Deep Bidirectional Transformers for Language Understanding](https://mlsanity.com/paper/1810.04805/) (2018)
- [RoBERTa: A Robustly Optimized BERT Pretraining Approach](https://mlsanity.com/paper/1907.11692/) (2019)
- [Distributed Representations of Words and Phrases and their Compositionality](https://mlsanity.com/paper/1310.4546/) (2013)
- [Neural Machine Translation of Rare Words with Subword Units](https://mlsanity.com/paper/1508.07909/) (2015)
- [ALBERT: A Lite BERT for Self-supervised Learning of Language Representations](https://mlsanity.com/paper/1909.11942/) (2019)
- [Big Bird: Transformers for Longer Sequences](https://mlsanity.com/paper/2007.14062/) (2020)
- [Reformer: The Efficient Transformer](https://mlsanity.com/paper/2001.04451/) (2020)
- [Linformer: Self-Attention with Linear Complexity](https://mlsanity.com/paper/2006.04768/) (2020)
- [What Does BERT Look At? An Analysis of BERT's Attention](https://mlsanity.com/paper/1906.04341/) (2019)
- [SpanBERT: Improving Pre-training by Representing and Predicting Spans](https://mlsanity.com/paper/1907.10529/) (2019)
- [HIBERT: Document Level Pre-training of Hierarchical Bidirectional Transformers for Document Summarization](https://mlsanity.com/paper/1905.06566/) (2019)
- [Applications of deep learning in stock market prediction: recent progress](https://mlsanity.com/paper/2003.01859/) (2020)
- [Attention is Not Only a Weight: Analyzing Transformers with Vector Norms](https://mlsanity.com/paper/2004.10102/) (2020)

## Abstract (arXiv)

Most applications of machine learning for finance are related to forecasting tasks for investment decisions. Instead, we aim to promote a better understanding of financial markets with machine learning techniques. Leveraging the tremendous progress in deep learning models for natural language processing, we construct a hierarchical Reformer ([15]) model capable of processing a large document level dataset, SEDAR, from canadian financial regulatory filings. Using this model, we show that it is possible to predict trade volume changes using regulatory filings. We adapt the pretraining task of HiBERT ([36]) to obtain good sentence level representations using a large unlabelled document dataset. Finetuning the model to successfully predict trade volume changes indicates that the model captures a view from financial markets and processing regulatory filings is beneficial. Analyzing the attention patterns of our model reveals that it is able to detect some indications of material information without explicit training, which is highly relevant for investors and also for the market surveillance mandate of financial regulators.