In:
INFORMS Journal on Computing, Institute for Operations Research and the Management Sciences (INFORMS), Vol. 34, No. 4 ( 2022-07), p. 1940-1957
Abstract:
Co-movement among individual firms’ stock prices can reflect complex interfirm relationships. This paper proposes a novel method to leverage such relationships for stock price predictions by adopting inductive graph representation learning on dynamic stock graphs constructed based on historical stock price co-movement. To learn node representations from such dynamic graphs for better stock predictions, we propose the hybrid-attention dynamic graph neural network, an inductive graph representation learning method. We also extended mini-batch gradient descent to inductive representation learning on dynamic stock graphs so that the model can update parameters over mini-batch stock graphs with higher training efficiency. Extensive experiments on stocks from different markets and trading simulations demonstrate that the proposed method significantly improves stock predictions. The proposed method can have important implications for the management of financial portfolios and investment risk. Summary of Contribution: Accurate predictions of stock prices have important implications for financial decisions. In today’s economy, individual firms are increasingly connected via different types of relationships. As a result, firms’ stock prices often feature synchronous co-movement patterns. This paper represents the first effort to leverage such phenomena to construct dynamic stock graphs for stock predictions. We develop hybrid-attention dynamic graph neural network (HAD-GNN), an inductive graph representation learning framework for dynamic stock graphs to incorporate temporal and graph attention mechanisms. To improve the learning efficiency of HAD-GNN, we also extend the mini-batch gradient descent to inductive representation learning on such dynamic graphs and adopt a t-batch training mechanism (t-BTM). We demonstrate the effectiveness of our new approach via experiments based on real-world data and simulations.
Type of Medium:
Online Resource
ISSN:
1091-9856
,
1526-5528
DOI:
10.1287/ijoc.2022.1172
Language:
English
Publisher:
Institute for Operations Research and the Management Sciences (INFORMS)
Publication Date:
2022
detail.hit.zdb_id:
2070411-2
detail.hit.zdb_id:
2004082-9
SSG:
3,2
