Predicting good news using regulatory disclosure patterns, Python, SEC
4 by jgfriedman1999 | 1 comments on Hacker News.
I was curious if I could use insider trading patterns to predict whether the sentiment of 8-K filings were positive or negative. https://ift.tt/eVldwaU 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://ift.tt/0eEaM7z 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?