# New drugs and stock market: how to predict pharma market reaction to clinical trial announcements

arXiv: https://arxiv.org/abs/2208.07248 · HTML: https://mlsanity.com/paper/2208.07248/

## Key facts

- Cited by 1 papers in the map (data through 14 Oct 2026).
- Builds on 9 of its 54 references that are in the map.
- First posted on arXiv 11 Aug 2022.

## Builds on (most cited first, 9 of 9)

- [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)
- [Semi-Supervised Classification with Graph Convolutional Networks](https://mlsanity.com/paper/1609.02907/) (2016)
- [A Unified Approach to Interpreting Model Predictions](https://mlsanity.com/paper/1705.07874/) (2017)
- [XGBoost: A Scalable Tree Boosting System](https://mlsanity.com/paper/1603.02754/) (2016)
- [Temporal Fusion Transformers for Interpretable Multi-horizon Time Series Forecasting](https://mlsanity.com/paper/1912.09363/) (2019)
- [Eco2AI: carbon emissions tracking of machine learning models as the first step towards sustainable AI](https://mlsanity.com/paper/2208.00406/) (2022)
- [Boost then Convolve: Gradient Boosting Meets Graph Neural Networks](https://mlsanity.com/paper/2101.08543/) (2021)
- [Beyond pairwise network similarity: exploring Mediation and Suppression between networks](https://mlsanity.com/paper/2012.09006/) (2020)

## Built on by (most cited first, 1 of 1)

- [The Battle of Information Representations: Comparing Sentiment and Semantic Features for Forecasting Market Trends](https://mlsanity.com/paper/2303.14221/) (2023)

## Abstract (arXiv)

Pharmaceutical companies operate in a strictly regulated and highly risky environment in which a single slip can lead to serious financial implications. Accordingly, the announcements of clinical trial results tend to determine the future course of events, hence being closely monitored by the public. In this work, we provide statistical evidence for the result promulgation influence on the public pharma market value. Whereas most works focus on retrospective impact analysis, the present research aims to predict the numerical values of announcement-induced changes in stock prices. For this purpose, we develop a pipeline that includes a BERT-based model for extracting sentiment polarity of announcements, a Temporal Fusion Transformer for forecasting the expected return, a graph convolution network for capturing event relationships, and gradient boosting for predicting the price change. The challenge of the problem lies in inherently different patterns of responses to positive and negative announcements, reflected in a stronger and more pronounced reaction to the negative news. Moreover, such phenomenon as the drop in stocks after the positive announcements affirms the counterintuitiveness of the price behavior. Importantly, we discover two crucial factors that should be considered while working within a predictive framework. The first factor is the drug portfolio size of the company, indicating the greater susceptibility to an announcement in the case of small drug diversification. The second one is the network effect of the events related to the same company or nosology. All findings and insights are gained on the basis of one of the biggest FDA (the Food and Drug Administration) announcement datasets, consisting of 5436 clinical trial announcements from 681 companies over the last five years.