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Stock2Vec: A Hybrid Deep Learning Framework for Stock Market Prediction with Representation Learning and Temporal Convolutional Network

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  • Xing Wang
  • Yijun Wang
  • Bin Weng
  • Aleksandr Vinel

Abstract

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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  • Xing Wang & Yijun Wang & Bin Weng & Aleksandr Vinel, 2020. "Stock2Vec: A Hybrid Deep Learning Framework for Stock Market Prediction with Representation Learning and Temporal Convolutional Network," Papers 2010.01197, arXiv.org.
    • Handle: RePEc:arx:papers:2010.01197
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    References listed on IDEAS

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    1. Paul C. Tetlock & Maytal Saar‐Tsechansky & Sofus Macskassy, 2008. "More Than Words: Quantifying Language to Measure Firms' Fundamentals," Journal of Finance, American Finance Association, vol. 63(3), pages 1437-1467, June.
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    5. Qiong Wu & Christopher G. Brinton & Zheng Zhang & Andrea Pizzoferrato & Zhenming Liu & Mihai Cucuringu, 2019. "Equity2Vec: End-to-end Deep Learning Framework for Cross-sectional Asset Pricing," Papers 1909.04497, arXiv.org, revised Oct 2021.
    6. Zhengyao Jiang & Dixing Xu & Jinjun Liang, 2017. "A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem," Papers 1706.10059, arXiv.org, revised Jul 2017.
    7. Guosheng Hu & Yuxin Hu & Kai Yang & Zehao Yu & Flood Sung & Zhihong Zhang & Fei Xie & Jianguo Liu & Neil Robertson & Timothy Hospedales & Qiangwei Miemie, 2017. "Deep Stock Representation Learning: From Candlestick Charts to Investment Decisions," Papers 1709.03803, arXiv.org, revised Feb 2018.
    8. Fischer, Thomas & Krauss, Christopher, 2018. "Deep learning with long short-term memory networks for financial market predictions," European Journal of Operational Research, Elsevier, vol. 270(2), pages 654-669.
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    Cited by:

    1. Bhaskarjit Sarmah & Nayana Nair & Dhagash Mehta & Stefano Pasquali, 2022. "Learning Embedded Representation of the Stock Correlation Matrix using Graph Machine Learning," Papers 2207.07183, arXiv.org.
    2. Longbing Cao, 2021. "AI in Finance: Challenges, Techniques and Opportunities," Papers 2107.09051, arXiv.org.
    3. Rian Dolphin & Barry Smyth & Ruihai Dong, 2022. "Stock Embeddings: Learning Distributed Representations for Financial Assets," Papers 2202.08968, arXiv.org.

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