Enhancing Stock Trend Prediction Models by Mining Relational Graphs of Stock Prices

Hung Yang Li, Vincent S. Tseng, Philip S. Yu

研究成果: Conference contribution同行評審

1 引文 斯高帕斯(Scopus)

摘要

Stock trend prediction has been a subject that attracts lots of attentions from a diverse range of fields recently. Despite the advance by the cooperation with artificial intelligence and finance domains, a large number of works are still limited to the use of technical indicators to capture the principles of a stock price movement while few consider both historical patterns and the relations of its correlated stock. In this work, we propose a novel framework named RGStocknet (Relational Graph Stock Enhancing Network) that can boost performance on an arbitrary time series prediction backbone model. Our approach automatically extracts the relational graph into which the graph embedding model can be easily integrated. Treated as an additional input feature, company embedding from the graph embedding model aims to improve performance without the need for external resources of the knowledge graph. The experiment results show that the three benchmark baseline can benefit from our proposed RGStocknet module in relative performance gain on the SP500 dataset with 2.97%, 2.48%, and 7.03% on profit-score and with 25.50%, 17.53%, and 12.75% on accuracy respectively. Applied to a real-world trading simulation environment, our approach also outperformed the backbone model and doubled the average return on ResNet over the buy and hold (BH) strategy from 4.42% to 7.38%. Visualization of the generated relational graph and company embedding also shows that the proposed method can capture the hidden dynamics of other correlated stocks and learn representation across the whole stock market. Moreover, the proposed method was shown to carry the potential to incorporate relations with external resources to achieve higher performance further.

原文English
主出版物標題Proceedings - 2020 International Conference on Pervasive Artificial Intelligence, ICPAI 2020
發行者Institute of Electrical and Electronics Engineers Inc.
頁面110-117
頁數8
ISBN(電子)9781665404839
DOIs
出版狀態Published - 12月 2020
事件1st International Conference on Pervasive Artificial Intelligence, ICPAI 2020 - Taipei, Taiwan
持續時間: 3 12月 20205 12月 2020

出版系列

名字Proceedings - 2020 International Conference on Pervasive Artificial Intelligence, ICPAI 2020

Conference

Conference1st International Conference on Pervasive Artificial Intelligence, ICPAI 2020
國家/地區Taiwan
城市Taipei
期間3/12/205/12/20

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