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Mamba Meets Financial Markets: A Graph-Mamba Approach for Stock Price Prediction

Author

Listed:
  • Ali Mehrabian
  • Ehsan Hoseinzade
  • Mahdi Mazloum
  • Xiaohong Chen

Abstract

Stock markets play an important role in the global economy, where accurate stock price predictions can lead to significant financial returns. While existing transformer-based models have outperformed long short-term memory networks and convolutional neural networks in financial time series prediction, their high computational complexity and memory requirements limit their practicality for real-time trading and long-sequence data processing. To address these challenges, we propose SAMBA, an innovative framework for stock return prediction that builds on the Mamba architecture and integrates graph neural networks. SAMBA achieves near-linear computational complexity by utilizing a bidirectional Mamba block to capture long-term dependencies in historical price data and employing adaptive graph convolution to model dependencies between daily stock features. Our experimental results demonstrate that SAMBA significantly outperforms state-of-the-art baseline models in prediction accuracy, maintaining low computational complexity. The code and datasets are available at github.com/Ali-Meh619/SAMBA.

Suggested Citation

  • Ali Mehrabian & Ehsan Hoseinzade & Mahdi Mazloum & Xiaohong Chen, 2024. "Mamba Meets Financial Markets: A Graph-Mamba Approach for Stock Price Prediction," Papers 2410.03707, arXiv.org.
  • Handle: RePEc:arx:papers:2410.03707
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    References listed on IDEAS

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    1. Shihao Gu & Bryan Kelly & Dacheng Xiu, 2020. "Empirical Asset Pricing via Machine Learning," Review of Finance, European Finance Association, vol. 33(5), pages 2223-2273.
    2. Shihao Gu & Bryan Kelly & Dacheng Xiu, 2020. "Empirical Asset Pricing via Machine Learning," The Review of Financial Studies, Society for Financial Studies, vol. 33(5), pages 2223-2273.
    3. Zhuangwei Shi, 2024. "MambaStock: Selective state space model for stock prediction," Papers 2402.18959, arXiv.org.
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