Saved in:
| Main Author: | |
|---|---|
| Format: | Preprint |
| Published: |
2025
|
| Subjects: | |
| Online Access: | https://arxiv.org/abs/2512.20216 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1866915692552388608 |
|---|---|
| author | Perera, Linuk |
| author_facet | Perera, Linuk |
| contents | This research introduces a novel quantitative methodology tailored for quantitative finance applications, enabling banks, stockbrokers, and investors to predict economic regimes and market signals in emerging markets, specifically Sri Lankan stock indices (S&P SL20 and ASPI) by integrating Environmental, Social, and Governance (ESG) sentiment analysis with macroeconomic indicators and advanced time-series forecasting. Designed to leverage quantitative techniques for enhanced risk assessment, portfolio optimization, and trading strategies in volatile environments, the architecture employs FinBERT, a transformer-based NLP model, to extract sentiment from ESG texts, followed by unsupervised clustering (UMAP/HDBSCAN) to identify 5 latent ESG regimes, validated via PCA. These regimes are mapped to economic conditions using a dense neural network and gradient boosting classifier, achieving 84.04% training and 82.0% validation accuracy. Concurrently, time-series models (SRNN, MLP, LSTM, GRU) forecast daily closing prices, with GRU attaining an R-squared of 0.801 and LSTM delivering 52.78% directional accuracy on intraday data. A strong correlation between S&P SL20 and S&P 500, observed through moving average and volatility trend plots, further bolsters forecasting precision. A rule-based fusion logic merges ESG and time-series outputs for final market signals. By addressing literature gaps that overlook emerging markets and holistic integration, this quant-driven framework combines global correlations and local sentiment analysis to offer scalable, accurate tools for quantitative finance professionals navigating complex markets like Sri Lanka. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2512_20216 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Quantitative Financial Modeling for Sri Lankan Markets: Approach Combining NLP, Clustering and Time-Series Forecasting Perera, Linuk Computational Finance This research introduces a novel quantitative methodology tailored for quantitative finance applications, enabling banks, stockbrokers, and investors to predict economic regimes and market signals in emerging markets, specifically Sri Lankan stock indices (S&P SL20 and ASPI) by integrating Environmental, Social, and Governance (ESG) sentiment analysis with macroeconomic indicators and advanced time-series forecasting. Designed to leverage quantitative techniques for enhanced risk assessment, portfolio optimization, and trading strategies in volatile environments, the architecture employs FinBERT, a transformer-based NLP model, to extract sentiment from ESG texts, followed by unsupervised clustering (UMAP/HDBSCAN) to identify 5 latent ESG regimes, validated via PCA. These regimes are mapped to economic conditions using a dense neural network and gradient boosting classifier, achieving 84.04% training and 82.0% validation accuracy. Concurrently, time-series models (SRNN, MLP, LSTM, GRU) forecast daily closing prices, with GRU attaining an R-squared of 0.801 and LSTM delivering 52.78% directional accuracy on intraday data. A strong correlation between S&P SL20 and S&P 500, observed through moving average and volatility trend plots, further bolsters forecasting precision. A rule-based fusion logic merges ESG and time-series outputs for final market signals. By addressing literature gaps that overlook emerging markets and holistic integration, this quant-driven framework combines global correlations and local sentiment analysis to offer scalable, accurate tools for quantitative finance professionals navigating complex markets like Sri Lanka. |
| title | Quantitative Financial Modeling for Sri Lankan Markets: Approach Combining NLP, Clustering and Time-Series Forecasting |
| topic | Computational Finance |
| url | https://arxiv.org/abs/2512.20216 |