English

FinGAT: Financial Graph Attention Networks for Recommending Top-K Profitable Stocks

Machine Learning 2021-06-21 v1 Computational Engineering, Finance, and Science Information Retrieval Social and Information Networks

Abstract

Financial technology (FinTech) has drawn much attention among investors and companies. While conventional stock analysis in FinTech targets at predicting stock prices, less effort is made for profitable stock recommendation. Besides, in existing approaches on modeling time series of stock prices, the relationships among stocks and sectors (i.e., categories of stocks) are either neglected or pre-defined. Ignoring stock relationships will miss the information shared between stocks while using pre-defined relationships cannot depict the latent interactions or influence of stock prices between stocks. In this work, we aim at recommending the top-K profitable stocks in terms of return ratio using time series of stock prices and sector information. We propose a novel deep learning-based model, Financial Graph Attention Networks (FinGAT), to tackle the task under the setting that no pre-defined relationships between stocks are given. The idea of FinGAT is three-fold. First, we devise a hierarchical learning component to learn short-term and long-term sequential patterns from stock time series. Second, a fully-connected graph between stocks and a fully-connected graph between sectors are constructed, along with graph attention networks, to learn the latent interactions among stocks and sectors. Third, a multi-task objective is devised to jointly recommend the profitable stocks and predict the stock movement. Experiments conducted on Taiwan Stock, S&P 500, and NASDAQ datasets exhibit remarkable recommendation performance of our FinGAT, comparing to state-of-the-art methods.

Keywords

Cite

@article{arxiv.2106.10159,
  title  = {FinGAT: Financial Graph Attention Networks for Recommending Top-K Profitable Stocks},
  author = {Yi-Ling Hsu and Yu-Che Tsai and Cheng-Te Li},
  journal= {arXiv preprint arXiv:2106.10159},
  year   = {2021}
}

Comments

Accepted to IEEE TKDE 2021. The first two authors equally contribute to this work. Code is available at https://github.com/Roytsai27/Financial-GraphAttention