Spatiotemporal hypergraph convolution network for stock movement forecasting

R Sawhney, S Agarwal, A Wadhwa… - 2020 IEEE International …, 2020 - ieeexplore.ieee.org
2020 IEEE International Conference on Data Mining (ICDM), 2020ieeexplore.ieee.org
Stock movement prediction, a widely addressed research avenue in the world of computer
science and finance, it finds fundamental applications in quantitative trading and investment
decision making. Predicting future trends in stock prices is a complex problem,
fundamentally due to the highly stochastic and dynamic nature of the market. Advances in
neural stock forecasting through deep learning models have made improvements in stock
movement prediction. However, a majority of existing research treats stocks independent of …
Stock movement prediction, a widely addressed research avenue in the world of computer science and finance, it finds fundamental applications in quantitative trading and investment decision making. Predicting future trends in stock prices is a complex problem, fundamentally due to the highly stochastic and dynamic nature of the market. Advances in neural stock forecasting through deep learning models have made improvements in stock movement prediction. However, a majority of existing research treats stocks independent of each other or simplifies the complex higher-order relations between stocks in a pairwise fashion through graphs. Another limitation of recent graph-based approaches for stock movement prediction is the lack of time-aware modeling of the temporal evolution of stock prices jointly while modeling inter stock relations. To this end, we propose STHGCN: Spatio-Temporal Hypergraph Convolution Network, the first neural hypergraph model for stock trend forecasting. At the core of STHGCN, we devise a gated temporal convolution over hypergraphs for learning stock price evolution over stock relations in a time-aware manner. STHGCN significantly outperforms state-of-the-art stock forecasting methods over extensive experiments on long term realworld S&P500 index data of stocks traded in the NASDAQ and NYSE markets over 12 diverse phases. We highlight STHGCN's practical applicability through a market simulation and a latency analysis with competitive models. Furthermore, we propose a novel architecture for stock trend forecasting that can be applied across various problems in the spatiotemporal domain.
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