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Multi-Graph Convolutional Network for Relationship-Driven Stock Movement Prediction

Author

Listed:
  • Jiexia Ye
  • Juanjuan Zhao
  • Kejiang Ye
  • Chengzhong Xu

Abstract

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.

Suggested Citation

  • Jiexia Ye & Juanjuan Zhao & Kejiang Ye & Chengzhong Xu, 2020. "Multi-Graph Convolutional Network for Relationship-Driven Stock Movement Prediction," Papers 2005.04955, arXiv.org, revised Oct 2020.
  • Handle: RePEc:arx:papers:2005.04955
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    References listed on IDEAS

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    1. Kewei Hou, 2007. "Industry Information Diffusion and the Lead-lag Effect in Stock Returns," The Review of Financial Studies, Society for Financial Studies, vol. 20(4), pages 1113-1138.
    2. Ming‐Hsuan Lee & Tou‐Chin Tsai & Jau‐er Chen & Mon‐Chi Lio, 2019. "Can Information And Communication Technology Improve Stock Market Efficiency? A Cross‐Country Study," Bulletin of Economic Research, Wiley Blackwell, vol. 71(2), pages 113-135, April.
    3. Fuli Feng & Huimin Chen & Xiangnan He & Ji Ding & Maosong Sun & Tat-Seng Chua, 2018. "Enhancing Stock Movement Prediction with Adversarial Training," Papers 1810.09936, arXiv.org, revised Jun 2019.
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    Cited by:

    1. Yang Qiao & Yiping Xia & Xiang Li & Zheng Li & Yan Ge, 2023. "Higher-order Graph Attention Network for Stock Selection with Joint Analysis," Papers 2306.15526, arXiv.org.
    2. Kelvin J. L. Koa & Yunshan Ma & Ritchie Ng & Tat-Seng Chua, 2023. "Diffusion Variational Autoencoder for Tackling Stochasticity in Multi-Step Regression Stock Price Prediction," Papers 2309.00073, arXiv.org, revised Oct 2023.
    3. Wai Khuen Cheng & Khean Thye Bea & Steven Mun Hong Leow & Jireh Yi-Le Chan & Zeng-Wei Hong & Yen-Lin Chen, 2022. "A Review of Sentiment, Semantic and Event-Extraction-Based Approaches in Stock Forecasting," Mathematics, MDPI, vol. 10(14), pages 1-20, July.
    4. Yu Zhao & Huaming Du & Ying Liu & Shaopeng Wei & Xingyan Chen & Fuzhen Zhuang & Qing Li & Ji Liu & Gang Kou, 2022. "Stock Movement Prediction Based on Bi-typed Hybrid-relational Market Knowledge Graph via Dual Attention Networks," Papers 2201.04965, arXiv.org, revised Jan 2022.

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