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Temporal Relational Ranking for Stock Prediction

Author

Listed:
  • Fuli Feng
  • Xiangnan He
  • Xiang Wang
  • Cheng Luo
  • Yiqun Liu
  • Tat-Seng Chua

Abstract

Stock prediction aims to predict the future trends of a stock in order to help investors to make good investment decisions. Traditional solutions for stock prediction are based on time-series models. With the recent success of deep neural networks in modeling sequential data, deep learning has become a promising choice for stock prediction. However, most existing deep learning solutions are not optimized towards the target of investment, i.e., selecting the best stock with the highest expected revenue. Specifically, they typically formulate stock prediction as a classification (to predict stock trend) or a regression problem (to predict stock price). More importantly, they largely treat the stocks as independent of each other. The valuable signal in the rich relations between stocks (or companies), such as two stocks are in the same sector and two companies have a supplier-customer relation, is not considered. In this work, we contribute a new deep learning solution, named Relational Stock Ranking (RSR), for stock prediction. Our RSR method advances existing solutions in two major aspects: 1) tailoring the deep learning models for stock ranking, and 2) capturing the stock relations in a time-sensitive manner. The key novelty of our work is the proposal of a new component in neural network modeling, named Temporal Graph Convolution, which jointly models the temporal evolution and relation network of stocks. To validate our method, we perform back-testing on the historical data of two stock markets, NYSE and NASDAQ. Extensive experiments demonstrate the superiority of our RSR method. It outperforms state-of-the-art stock prediction solutions achieving an average return ratio of 98% and 71% on NYSE and NASDAQ, respectively.

Suggested Citation

  • Fuli Feng & Xiangnan He & Xiang Wang & Cheng Luo & Yiqun Liu & Tat-Seng Chua, 2018. "Temporal Relational Ranking for Stock Prediction," Papers 1809.09441, arXiv.org, revised Jan 2019.
  • Handle: RePEc:arx:papers:1809.09441
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    References listed on IDEAS

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    2. Ayodele Ariyo Adebiyi & Aderemi Oluyinka Adewumi & Charles Korede Ayo, 2014. "Comparison of ARIMA and Artificial Neural Networks Models for Stock Price Prediction," Journal of Applied Mathematics, Hindawi, vol. 2014, pages 1-7, March.
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