English

Embedding-based neural network for investment return prediction

Statistical Finance 2022-10-04 v1 Machine Learning

Abstract

In addition to being familiar with policies, high investment returns also require extensive knowledge of relevant industry knowledge and news. In addition, it is necessary to leverage relevant theories for investment to make decisions, thereby amplifying investment returns. A effective investment return estimate can feedback the future rate of return of investment behavior. In recent years, deep learning are developing rapidly, and investment return prediction based on deep learning has become an emerging research topic. This paper proposes an embedding-based dual branch approach to predict an investment's return. This approach leverages embedding to encode the investment id into a low-dimensional dense vector, thereby mapping high-dimensional data to a low-dimensional manifold, so that highdimensional features can be represented competitively. In addition, the dual branch model realizes the decoupling of features by separately encoding different information in the two branches. In addition, the swish activation function further improves the model performance. Our approach are validated on the Ubiquant Market Prediction dataset. The results demonstrate the superiority of our approach compared to Xgboost, Lightgbm and Catboost.

Keywords

Cite

@article{arxiv.2210.00876,
  title  = {Embedding-based neural network for investment return prediction},
  author = {Jianlong Zhu and Dan Xian and Fengxiao and Yichen Nie},
  journal= {arXiv preprint arXiv:2210.00876},
  year   = {2022}
}

Comments

Accepted at 2022 2nd IEEE International Conference on Computer Science, Electronic Information Engineering and Intelligent Control Technology

R2 v1 2026-06-28T02:36:02.873Z