| --- |
| license: other |
| tags: |
| - finance |
| - nlp |
| - sec-filings |
| - item-1a |
| - volatility |
| - bert |
| - bertopic |
| pretty_name: Dissertation Phase 1 Dataset — Hybrid Financial Risk Modelling |
| --- |
| |
| # Dissertation Dataset — Phase 1 Data Pipeline |
|
|
| **Project:** Hybrid Topic and Domain-Adaptive Modelling for Financial Risk and Forecasting |
| **Institution:** University of Edinburgh, School of Informatics |
| **Supervisor:** Prof Tiejun Ma |
|
|
| > This is a **private** research dataset. All files are used exclusively within the scope of this dissertation project and must not be redistributed. |
|
|
| --- |
|
|
| ## What This Repo Contains |
|
|
| This dataset repo holds all Phase 1 pipeline outputs needed to run Phases 2–5 of the dissertation. It is the single source of truth for the cluster environment. |
|
|
| | File | Size | Description | |
| |------|------|-------------| |
| | `sp500_1A.tar.gz` | ~440 MB | Item 1A Risk Factor text corpus — 8,247 pickle files, one per `{TICKER}_{YEAR}`, covering S&P 500 firms 2006–2025. Each pickle is a plain string of the full Item 1A section. | |
| | `feature_table.parquet` | ~0.2 MB | Phase 1 master table — 8,105 rows, one per filing. Columns: `ticker, cik, permno, sic, fiscal_year, filing_date, report_date, lagged_vol_30d, fwd_vol_30d`. Placeholder columns for `embedding` (Phase 2) and `topic_vector` (Phase 4). | |
| | `filings_index.csv` | ~0.9 MB | EDGAR submissions API output — filing dates, SIC codes, and `has_pickle` flag for all 656 CIKs. 11,447 total 10-K filings (2006–2025). | |
| | `volatility_labels.csv` | ~0.7 MB | 30-day annualised volatility windows per filing. `lagged_vol_30d` = AR(1) baseline; `fwd_vol_30d` = prediction target. 94.9% coverage. | |
| | `permno_linkage.csv` | <0.1 MB | CIK → PERMNO mapping from WRDS CCM. 651/656 firms matched. | |
| | `sp500_union_constituents(1).csv` | <0.1 MB | S&P 500 universe — 656 unique CIK/ticker pairs (historical constituents). | |
| | `README.md` | — | This file. | |
|
|
| --- |
|
|
| ## How to Download on the Cluster |
|
|
| ```bash |
| # One-time login |
| huggingface-cli login |
| |
| # Download all files |
| huggingface-cli download SarthakVishnu/dissertation-dataset \ |
| --repo-type dataset \ |
| --local-dir ~/dissertation/datasets/ |
| |
| # Unzip the Item 1A corpus |
| cd ~/dissertation/datasets/ |
| tar -xzf sp500_1A.tar.gz && rm sp500_1A.tar.gz |
| ``` |
|
|
| --- |
|
|
| ## How Each File Is Used Per Phase |
|
|
| | Phase | Files Used | |
| |-------|-----------| |
| | **Phase 2 — DAPT** | `sp500_1A/` (MLM pretraining corpus, train split ≤2024) | |
| | **Phase 3 — Contrastive FT** | `sp500_1A/` + `filings_index.csv` (SIC codes for sector-view positive pairs) | |
| | **Phase 4 — BERTopic** | `sp500_1A/` + `feature_table.parquet` (per-filing topic vectors) | |
| | **Phase 5 — Ablation** | `feature_table.parquet` + `volatility_labels.csv` (downstream vol forecasting) | |
|
|
| --- |
|
|
| ## Temporal Split |
|
|
| | Split | Criterion | Approx. Filings | Role | |
| |-------|-----------|-----------------|------| |
| | Train | `filing_date < 2025-01-01` | ~7,700 | DAPT, contrastive FT, BERTopic | |
| | Val | `2025-01-01 ≤ filing_date < 2026-01-01` | ~280 | Perplexity checkpointing, FinMTEB eval | |
| | Test | `filing_date ≥ 2026-01-01` | ~125 | Held-out volatility forecasting | |
|
|
| --- |
|
|
| ## Licence & Ethics |
|
|
| - **Item 1A text** and **EDGAR-derived data** are from publicly available SEC filings. |
| - **WRDS/CRSP-derived data** (`permno_linkage.csv`, `volatility_labels.csv`, `feature_table.parquet`) is used under the University of Edinburgh's institutional licence and must not be redistributed externally. |
| - No personal data or human subjects are involved. |
|
|
