Futures Quantitative Investment with Heterogeneous Continual Graph Neural Network

Abstract

It is a challenging problem to predict trends of futures prices with traditional econometric models as one needs to consider not only futures' historical data but also correlations among different futures. Spatial-temporal graph neural networks (STGNNs) have great advantages in dealing with such kind of spatial-temporal data. However, we cannot directly apply STGNNs to high-frequency future data because future investors have to consider both the long-term and short-term characteristics when doing decision-making. To capture both the long-term and short-term features, we exploit more label information by designing four heterogeneous tasks: price regression, price moving average regression, price gap regression (within a short interval), and change-point detection, which involve both long-term and short-term scenes. To make full use of these labels, we train our model in a continual manner. Traditional continual GNNs define the gradient of prices as the parameter important to overcome catastrophic forgetting (CF). Unfortunately, the losses of the four heterogeneous tasks lie in different spaces. Hence it is improper to calculate the parameter importance with their losses. We propose to calculate parameter importance with mutual information between original observations and the extracted features. The empirical results based on 49 commodity futures demonstrate that our model has higher prediction performance on capturing long-term or short-term dynamic change