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Register a new userExplainable Text-Driven Neural Network for Stock Prediction
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Linyi Yang
Publication date
2019
fields
Informatics Engineering
and research's language is
English
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It has been shown that financial news leads to the fluctuation of stock prices. However, previous work on news-driven financial market prediction focused only on predicting stock price movement without providing an explanation. In this paper, we propose a dual-layer attention-based neural network to address this issue. In the initial stage, we introduce a knowledge-based method to adaptively extract relevant financial news. Then, we use input attention to pay more attention to the more influential news and concatenate the day embeddings with the output of the news representation. Finally, we use an output attention mechanism to allocate different weights to different days in terms of their contribution to stock price movement. Thorough empirical studies based upon historical prices of several individual stocks demonstrate the superiority of our proposed method in stock price prediction compared to state-of-the-art methods.
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We consider the problem of neural network training in a time-varying context. Machine learning algorithms have excelled in problems that do not change over time. However, problems encountered in financial markets are often time-varying. We propose the online early stopping algorithm and show that a neural network trained using this algorithm can track a function changing with unknown dynamics. We compare the proposed algorithm to current approaches on predicting monthly U.S. stock returns and show its superiority. We also show that prominent factors (such as the size and momentum effects) and industry indicators, exhibit time varying stock return predictiveness. We find that during market distress, industry indicators experience an increase in importance at the expense of firm level features. This indicates that industries play a role in explaining stock returns during periods of heightened risk.
Stock price movement prediction is commonly accepted as a very challenging task due to the volatile nature of financial markets. Previous works typically predict the stock price mainly based on its own information, neglecting the cross effect among involved stocks. However, it is well known that an individual stock price is correlated with prices of other stocks in complex ways. To take the cross effect into consideration, we propose a deep learning framework, called Multi-GCGRU, which comprises graph convolutional network (GCN) and gated recurrent unit (GRU) to predict stock movement. Specifically, we first encode multiple relationships among stocks into graphs based on financial domain knowledge and utilize GCN to extract the cross effect based on these pre-defined graphs. To further get rid of prior knowledge, we explore an adaptive relationship learned by data automatically. The cross-correlation features produced by GCN are concatenated with historical records and then fed into GRU to model the temporal dependency of stock prices. Experiments on two stock indexes in China market show that our model outperforms other baselines. Note that our model is rather feasible to incorporate more effective stock relationships containing expert knowledge, as well as learn data-driven relationship.
Recently, researches have explored the graph neural network (GNN) techniques on text classification, since GNN does well in handling complex structures and preserving global information. However, previous methods based on GNN are mainly faced with the practical problems of fixed corpus level graph structure which do not support online testing and high memory consumption. To tackle the problems, we propose a new GNN based model that builds graphs for each input text with global parameters sharing instead of a single graph for the whole corpus. This method removes the burden of dependence between an individual text and entire corpus which support online testing, but still preserve global information. Besides, we build graphs by much smaller windows in the text, which not only extract more local features but also significantly reduce the edge numbers as well as memory consumption. Experiments show that our model outperforms existing models on several text classification datasets even with consuming less memory.
Text encoders based on C-DSSM or transformers have demonstrated strong performance in many Natural Language Processing (NLP) tasks. Low latency variants of these models have also been developed in recent years in order to apply them in the field of sponsored search which has strict computational constraints. However these models are not the panacea to solve all the Natural Language Understanding (NLU) challenges as the pure semantic information in the data is not sufficient to fully identify the user intents. We propose the TextGNN model that naturally extends the strong twin tower structured encoders with the complementary graph information from user historical behaviors, which serves as a natural guide to help us better understand the intents and hence generate better language representations. The model inherits all the benefits of twin tower models such as C-DSSM and TwinBERT so that it can still be used in the low latency environment while achieving a significant performance gain than the strong encoder-only counterpart baseline models in both offline evaluations and online production system. In offline experiments, the model achieves a 0.14% overall increase in ROC-AUC with a 1% increased accuracy for long-tail low-frequency Ads, and in the online A/B testing, the model shows a 2.03% increase in Revenue Per Mille with a 2.32% decrease in Ad defect rate.
Submodularity is desirable for a variety of objectives in content selection where the current neural encoder-decoder framework is inadequate. However, it has so far not been explored in the neural encoder-decoder system for text generation. In this work, we define diminishing attentions with submodular functions and in turn, prove the submodularity of the effective neural coverage. The greedy algorithm approximating the solution to the submodular maximization problem is not suited to attention score optimization in auto-regressive generation. Therefore instead of following how submodular function has been widely used, we propose a simplified yet principled solution. The resulting attention module offers an architecturally simple and empirically effective method to improve the coverage of neural text generation. We run experiments on three directed text generation tasks with different levels of recovering rate, across two modalities, three different neural model architectures and two training strategy variations. The results and analyses demonstrate that our method generalizes well across these settings, produces texts of good quality and outperforms state-of-the-art baselines.
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