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Register a new userStock2Vec: A Hybrid Deep Learning Framework for Stock Market Prediction with Representation Learning and Temporal Convolutional Network
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We have proposed to develop a global hybrid deep learning framework to predict the daily prices in the stock market. With representation learning, we derived an embedding called Stock2Vec, which gives us insight for the relationship among different stocks, while the temporal convolutional layers are used for automatically capturing effective temporal patterns both within and across series. Evaluated on S&P 500, our hybrid framework integrates both advantages and achieves better performance on the stock price prediction task than several popular benchmarked models.
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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.
Deep Reinforcement learning is a branch of unsupervised learning in which an agent learns to act based on environment state in order to maximize its total reward. Deep reinforcement learning provides good opportunity to model the complexity of portfolio choice in high-dimensional and data-driven environment by leveraging the powerful representation of deep neural networks. In this paper, we build a portfolio management system using direct deep reinforcement learning to make optimal portfolio choice periodically among S&P500 underlying stocks by learning a good factor representation (as input). The result shows that an effective learning of market conditions and optimal portfolio allocations can significantly outperform the average market.
Mid-price movement prediction based on limit order book (LOB) data is a challenging task due to the complexity and dynamics of the LOB. So far, there have been very limited attempts for extracting relevant features based on LOB data. In this paper, we address this problem by designing a new set of handcrafted features and performing an extensive experimental evaluation on both liquid and illiquid stocks. More specifically, we implement a new set of econometrical features that capture statistical properties of the underlying securities for the task of mid-price prediction. Moreover, we develop a new experimental protocol for online learning that treats the task as a multi-objective optimization problem and predicts i) the direction of the next price movement and ii) the number of order book events that occur until the change takes place. In order to predict the mid-price movement, the features are fed into nine different deep learning models based on multi-layer perceptrons (MLP), convolutional neural networks (CNN) and long short-term memory (LSTM) neural networks. The performance of the proposed method is then evaluated on liquid and illiquid stocks, which are based on TotalView-ITCH US and Nordic stocks, respectively. For some stocks, results suggest that the correct choice of a feature set and a model can lead to the successful prediction of how long it takes to have a stock price movement.
Predicting the future price trends of stocks is a challenging yet intriguing problem given its critical role to help investors make profitable decisions. In this paper, we present a collaborative temporal-relational modeling framework for end-to-end stock trend prediction. The temporal dynamics of stocks is firstly captured with an attention-based recurrent neural network. Then, different from existing studies relying on the pairwise correlations between stocks, we argue that stocks are naturally connected as a collective group, and introduce the hypergraph structures to jointly characterize the stock group-wise relationships of industry-belonging and fund-holding. A novel hypergraph tri-attention network (HGTAN) is proposed to augment the hypergraph convolutional networks with a hierarchical organization of intra-hyperedge, inter-hyperedge, and inter-hypergraph attention modules. In this manner, HGTAN adaptively determines the importance of nodes, hyperedges, and hypergraphs during the information propagation among stocks, so that the potential synergies between stock movements can be fully exploited. Extensive experiments on real-world data demonstrate the effectiveness of our approach. Also, the results of investment simulation show that our approach can achieve a more desirable risk-adjusted return. The data and codes of our work have been released at https://github.com/lixiaojieff/HGTAN.
Stock price prediction is a challenging task, but machine learning methods have recently been used successfully for this purpose. In this paper, we extract over 270 hand-crafted features (factors) inspired by technical and quantitative analysis and tested their validity on short-term mid-price movement prediction. We focus on a wrapper feature selection method using entropy, least-mean squares, and linear discriminant analysis. We also build a new quantitative feature based on adaptive logistic regression for online learning, which is constantly selected first among the majority of the proposed feature selection methods. This study examines the best combination of features using high frequency limit order book data from Nasdaq Nordic. Our results suggest that sorting methods and classifiers can be used in such a way that one can reach the best performance with a combination of only very few advanced hand-crafted features.
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