Enhancing Stock Movement Prediction with Adversarial Training

This paper contributes a new machine learning solution for stock movement prediction, which aims to predict whether the price of a stock will be up or down in the near future. The key novelty is that we propose to employ adversarial training to improve the generalization of a neural network prediction model. The rationality of adversarial training here is that the input features to stock prediction are typically based on stock price, which is essentially a stochastic variable and continuously changed with time by nature. As such, normal training with static price-based features (e.g. the close price) can easily overfit the data, being insufficient to obtain reliable models. To address this problem, we propose to add perturbations to simulate the stochasticity of price variable, and train the model to work well under small yet intentional perturbations. Extensive experiments on two real-world stock data show that our method outperforms the state-of-the-art solution with 3.11% relative improvements on average w.r.t. accuracy, validating the usefulness of adversarial training for stock prediction task.Comment: IJCAI 201

Robustness, Heterogeneity and Structure Capturing for Graph Representation Learning and its Application

Graph neural networks (GNNs) are potent methods for graph representation learn- ing (GRL), which extract knowledge from complicated (graph) structured data in various real-world scenarios. However, GRL still faces many challenges. Firstly GNN-based node classification may deteriorate substantially by overlooking the pos- sibility of noisy data in graph structures, as models wrongly process the relation among nodes in the input graphs as the ground truth. Secondly, nodes and edges have different types in the real-world and it is essential to capture this heterogeneity in graph representation learning. Next, relations among nodes are not restricted to pairwise relations and it is necessary to capture the complex relations accordingly. Finally, the absence of structural encodings, such as positional information, deterio- rates the performance of GNNs. This thesis proposes novel methods to address the aforementioned problems: 1. Bayesian Graph Attention Network (BGAT): Developed for situations with scarce data, this method addresses the influence of spurious edges. Incor- porating Bayesian principles into the graph attention mechanism enhances robustness, leading to competitive performance against benchmarks (Chapter 3). 2. Neighbour Contrastive Heterogeneous Graph Attention Network (NC-HGAT): By enhancing a cutting-edge self-supervised heterogeneous graph neural net- work model (HGAT) with neighbour contrastive learning, this method ad- dresses heterogeneity and uncertainty simultaneously. Extra attention to edge relations in heterogeneous graphs also aids in subsequent classification tasks (Chapter 4). 3. A novel ensemble learning framework is introduced for predicting stock price movements. It adeptly captures both group-level and pairwise relations, lead- ing to notable advancements over the existing state-of-the-art. The integration of hypergraph and graph models, coupled with the utilisation of auxiliary data via GNNs before recurrent neural network (RNN), provides a deeper under- standing of long-term dependencies between similar entities in multivariate time series analysis (Chapter 5). 4. A novel framework for graph structure learning is introduced, segmenting graphs into distinct patches. By harnessing the capabilities of transformers and integrating other position encoding techniques, this approach robustly capture intricate structural information within a graph. This results in a more comprehensive understanding of its underlying patterns (Chapter 6)

Meta-Stock: Task-Difficulty-Adaptive Meta-learning for Sub-new Stock Price Prediction

Sub-new stock price prediction, forecasting the price trends of stocks listed less than one year, is crucial for effective quantitative trading. While deep learning methods have demonstrated effectiveness in predicting old stock prices, they require large training datasets unavailable for sub-new stocks. In this paper, we propose Meta-Stock: a task-difficulty-adaptive meta-learning approach for sub-new stock price prediction. Leveraging prediction tasks formulated by old stocks, our meta-learning method aims to acquire the fast generalization ability that can be further adapted to sub-new stock price prediction tasks, thereby solving the data scarcity of sub-new stocks. Moreover, we enhance the meta-learning process by incorporating an adaptive learning strategy sensitive to varying task difficulties. Through wavelet transform, we extract high-frequency coefficients to manifest stock price volatility. This allows the meta-learning model to assign gradient weights based on volatility-quantified task difficulty. Extensive experiments on datasets collected from three stock markets spanning twenty-two years prove that our Meta-Stock significantly outperforms previous methods and manifests strong applicability in real-world stock trading. Besides, we evaluate the reasonability of the task difficulty quantification and the effectiveness of the adaptive learning strategy

An empirical study on the various stock market prediction methods

Investment in the stock market is one of the much-admired investment actions. However, prediction of the stock market has remained a hard task because of the non-linearity exhibited. The non-linearity is due to multiple affecting factors such as global economy, political situations, sector performance, economic numbers, foreign institution investment, domestic institution investment, and so on. A proper set of such representative factors must be analyzed to make an efficient prediction model. Marginal improvement of prediction accuracy can be gainful for investors. This review provides a detailed analysis of research papers presenting stock market prediction techniques. These techniques are assessed in the time series analysis and sentiment analysis section. A detailed discussion on research gaps and issues is presented. The reviewed articles are analyzed based on the use of prediction techniques, optimization algorithms, feature selection methods, datasets, toolset, evaluation matrices, and input parameters. The techniques are further investigated to analyze relations of prediction methods with feature selection algorithm, datasets, feature selection methods, and input parameters. In addition, major problems raised in the present techniques are also discussed. This survey will provide researchers with deeper insight into various aspects of current stock market prediction methods

Diffusion Variational Autoencoder for Tackling Stochasticity in Multi-Step Regression Stock Price Prediction

Multi-step stock price prediction over a long-term horizon is crucial for forecasting its volatility, allowing financial institutions to price and hedge derivatives, and banks to quantify the risk in their trading books. Additionally, most financial regulators also require a liquidity horizon of several days for institutional investors to exit their risky assets, in order to not materially affect market prices. However, the task of multi-step stock price prediction is challenging, given the highly stochastic nature of stock data. Current solutions to tackle this problem are mostly designed for single-step, classification-based predictions, and are limited to low representation expressiveness. The problem also gets progressively harder with the introduction of the target price sequence, which also contains stochastic noise and reduces generalizability at test-time. To tackle these issues, we combine a deep hierarchical variational-autoencoder (VAE) and diffusion probabilistic techniques to do seq2seq stock prediction through a stochastic generative process. The hierarchical VAE allows us to learn the complex and low-level latent variables for stock prediction, while the diffusion probabilistic model trains the predictor to handle stock price stochasticity by progressively adding random noise to the stock data. Our Diffusion-VAE (D-Va) model is shown to outperform state-of-the-art solutions in terms of its prediction accuracy and variance. More importantly, the multi-step outputs can also allow us to form a stock portfolio over the prediction length. We demonstrate the effectiveness of our model outputs in the portfolio investment task through the Sharpe ratio metric and highlight the importance of dealing with different types of prediction uncertainties.Comment: CIKM 202

Can Perturbations Help Reduce Investment Risks? Risk-Aware Stock Recommendation via Split Variational Adversarial Training

In the stock market, a successful investment requires a good balance between profits and risks. Recently, stock recommendation has been widely studied in quantitative investment to select stocks with higher return ratios for investors. Despite the success in making profits, most existing recommendation approaches are still weak in risk control, which may lead to intolerable paper losses in practical stock investing. To effectively reduce risks, we draw inspiration from adversarial perturbations and propose a novel Split Variational Adversarial Training (SVAT) framework for risk-aware stock recommendation. Essentially, SVAT encourages the model to be sensitive to adversarial perturbations of risky stock examples and enhances the model's risk awareness by learning from perturbations. To generate representative adversarial examples as risk indicators, we devise a variational perturbation generator to model diverse risk factors. Particularly, the variational architecture enables our method to provide a rough risk quantification for investors, showing an additional advantage of interpretability. Experiments on three real-world stock market datasets show that SVAT effectively reduces the volatility of the stock recommendation model and outperforms state-of-the-art baseline methods by more than 30% in terms of risk-adjusted profits

과거 가격 및 희소한 트윗을 이용한 주가 변동 예측

학위논문(석사) -- 서울대학교대학원 : 공과대학 컴퓨터공학부, 2021.8. 강유.Given historical stock prices and sparse tweets mentioning the stocks to predict, how can we precisely predict stock price movement? Many market analysts strive to use a large amount of information for prediction. However, they confront more noise when utilizing larger data for prediction. Thus, existing methods use only historical prices, or those along with a small amount of refined data such as news articles or tweets mentioning target stocks. However, they have the following limitations: 1) using only historical prices gives low performance since they have insufficient information, 2) news articles lack timeliness compared to social medias for predicting stock price movement, and 3) the previous methods using tweets do not handle stocks without tweets mentioning them. In this paper, we propose GLT (Stock Price Movement Prediction using Global and Local Trends of Tweets), an accurate stock price movement prediction method that works without tweets mentioning target stocks. GLT pre-trains both of stock and tweet representations in a self-supervised way. Then, GLT generates global and local tweet trends which represent global public opinion and the local trends related to target stocks, respectively. The trend vectors are combined to accurately predict stock price movement. Experimental results show that GLT provides the state-ofthe-art accuracy for stock price movement prediction.과거 주가와 예측할 주식을 언급하는 희소한 트윗이 주어졌을 때 주가 변동을 어떻게 정확하게 예측할 수 있을까? 많은 시장 분석가들은 예측을 위해 많은 양의 정 보를 사용하려고 노력합니다. 하지만 예측을 위해 더 많은 양의 데이터를 사용할수 록 더 많은 노이즈에 직면합니다. 따라서 기존 방법은 과거 주식 가격만 사용하거나 뉴스 기사 혹은 대상 주식을 언급하는 트윗과 같은 소량의 정제된 데이터를 사용 합니다. 그러나 기존 방법들은 다음과 같은 한계가 있습니다: 1) 과거 주식 가격만 사용하면 정보가 부족하여 성능이 저하되고, 2) 뉴스 기사는 주가 변동을 예측하는 데 소셜 미디어에 비해 적시성이 부족하며, 3) 트윗을 사용하는 이전 방법들은 트윗이 언급하지 않은 주식들을 처리하지 못합니다. 본 논문에서는 목표 주식을 언급하는 트윗 없이도 작동하는 정확한 주가 변동 예측 방법인 GLT (Stock Price Movement Prediction using Global and Local Trends of Tweets)를 제안합니다. GLT는 자가 감독 방식을 활용하여 주식 및 트윗 임베딩을 사전 학습합니다. 그런 다음 GLT는 각각 글로벌 여론과 목표 주식과 관련된 트렌드 를 나타내는 글로벌 및 로컬 트윗 트렌드를 생성합니다. 이러한 추세 벡터들은 주가 변동을 정확하게 예측하는데 기여합니다. 실험 결과에 따르면 GLT는 주가 변동 예 측에서 최고 수준의 정확도를 제공합니다.I. Introduction 1 II. Related Work 4 2.1 Stock Price Movement Prediction 4 2.2 Attentive LSTM 4 III. Proposed Method 6 3.1 Overview 6 3.2 Self-supervised Pre-training for Representing Tweets and Stocks 7 3.3 Global Tweet Trend 10 3.4 Local Tweet Trend 11 3.5 Stock Movement Prediction 11 IV. Experiment 13 4.1 Experiment Setting 13 4.2 Classification Performance 15 4.3 Ablation Study 16 4.4 Hyperparameter Robustness 16 V. Conclusion 18 References 19 Abstract in Korean 23석